Do Economic Policy Uncertainty, Climate Policy Uncertainty, and Financial Globalization Uncertainty Co-Move with Oil Market Fear? A Frequency Domain Analysis

Using a nonlinear autoregressive distributed lag and frequency domain analysis, this paper examines the impact of various uncertainty indicators on oil market fear (OMF) in Nigeria, from 1997M1–2020M3. The results show that economic policy uncertainty (EPU), climate policy uncertainty (CPU), and financial globalization uncertainty (FGU) have perverse effects on the OMF. We observed that a bi-directional causal relationship between EPU and the OMF exists temporarily. A unidirectional causal effect exists from CPU to OMF. We further show a bi-directional causal relationship between OMF and FGU. Policy recommendations are discussed accordingly.