计量经济学
石油价格
波动性(金融)
经济
原油
稳健性(进化)
参数统计
石油
统计
货币经济学
石油工程
工程类
数学
古生物学
生物化学
化学
生物
基因
作者
Panos K. Pouliasis,Christos Bentsos
摘要
Abstract This article investigates whether time variation in the returns' co‐movement of oil and Baltic Dirty Tanker Index can be linked to oil market uncertainty. We measure uncertainty using a battery of different proxies considering both parametric and non‐parametric methods and study its role from both statistical and economic perspectives. Using a regression framework combined with regime switching analysis, we show that oil price uncertainty and the future correlation of oil and dirty‐tanker returns are negatively associated. This negative association is more pronounced in highly volatile periods. The identified regimes are directly linked to high‐low crude oil volatility periods with implications on the level of correlation they exhibit to oil returns. Results are robust across crudes and volatility measures. Additional robustness checks corroborate that results hold for individual dirty‐tanker routes and clean‐tanker cargoes.
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