Abstract
This paper aims to investigate the impact of the macroeconomic uncertainty index (MU) on the futures returns of energy, including crude oil, heating oil, and natural gas. The quantile regression is used in this paper for examining the heterogeneity across market conditions. The empirical results show that changes in MU negatively affect futures returns of crude oil and heating oil in downward market conditions, and positive changes in MU dominate this impact. The MU changes also have a negative effect on natural gas futures returns in an extremely downward period, but this impact is not asymmetric. Further analysis indicates that speculation mitigates the negative impact of positive MU changes on crude oil futures returns during downward periods, while the association of the MU changes with the futures returns of heating oil and natural gas is not affected by speculation.
Published Version
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
