Endogenous Uncertainty in the Oil Market: A Bayesian Stochastic Volatility-in-Mean Analysis

Research output: Working paper

Abstract

There continues to be considerable interest in the relationship between oil market fundamentals, oil prices, and uncertainty. This paper examines the impact of oil market uncertainty shocks upon oil fundamentals and prices. We utilise a Bayesian stochastic volatility-in-mean VAR approach, which endogenously models oil market uncertainty and allows the data to dynamically impact uncertainty. We find evidence that supply uncertainty shocks are linked to demand uncertainty, and that supply shocks are associated with a fairly pronounced increase in oil price uncertainty.
Original languageEnglish
PublisherCentre for Energy Economics Research and Policy
Publication statusPublished - Nov 2020

Publication series

NameCEERP Working Paper Series
PublisherCentre for Energy Economics Research and Policy, Heriot-Watt University
No.12

Fingerprint Dive into the research topics of 'Endogenous Uncertainty in the Oil Market: A Bayesian Stochastic Volatility-in-Mean Analysis'. Together they form a unique fingerprint.

Cite this