Economic Policy Uncertainty and Energy Prices: Empirical Evidence from Multivariate DCC-GARCH Models

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dc.authoridhttps://orcid.org/0000-0001-6152-7728en_US
dc.authoridhttps://orcid.org/0000-0003-4948-6905en_US
dc.contributor.authorRingim, Salim Hamza
dc.contributor.authorAlhassan, Abdulkareem
dc.contributor.authorGüngör, Hasan
dc.contributor.authorBekun, Festus Victor
dc.date.accessioned2023-10-26T12:21:50Z
dc.date.available2023-10-26T12:21:50Z
dc.date.issued2022en_US
dc.departmentİktisadi İdari ve Sosyal Bilimler Fakültesien_US
dc.description.abstractCrude oil and natural gas are crucial to the Russian economy. Therefore, this study examined the interconnections between crude oil price, natural gas price, and Russian economic policy uncertainty (EPU) over the period 1994–2019 using multivariate DCC-MGARCH models. The findings show that there are strong interconnections (co-movement) between the energy prices and EPU in Russia, and that it might be misleading to assume independence or neutrality between the variables. Although Russia is also a crucial player in both the natural gas and the crude oil markets, this study reveals that there is a stronger co-movement of the EPU with gas price than with the oil price. Russia is the largest exporter of natural gas and the second-largest producer; it is plausible that the natural gas price correlates with EPU more than the crude oil price. Further, the correlation between gas price and EPU and the correlation between crude oil price and EPU have similar patterns. Each declines almost in the same period and, equally, increases concurrently. In addition, the results revealed that significant global shocks and crises, such as the 2008 global financial crisis, the 2014–2017 Russian financial crisis, the 9/11 terrorist attack, and the Russo–Ukrainian conflicts, influence the interconnections between the energy prices and Russian EPU.en_US
dc.identifier.doi10.3390/en15103712en_US
dc.identifier.endpage18en_US
dc.identifier.issn1996-1073
dc.identifier.issue10en_US
dc.identifier.scopus2-s2.0-85130513125en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.startpage1en_US
dc.identifier.urihttps://hdl.handle.net/11363/6057
dc.identifier.urihttps://doi.org/
dc.identifier.volume15en_US
dc.identifier.wosWOS:000801403300001en_US
dc.identifier.wosqualityQ3en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.institutionauthorBekun, Festus Victor
dc.language.isoenen_US
dc.publisherMDPI, ST ALBAN-ANLAGE 66, CH-4052 BASEL, SWITZERLANDen_US
dc.relation.ispartofEnergiesen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 United States*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/us/*
dc.subjecteconomic policy uncertaintyen_US
dc.subjectcrude oil priceen_US
dc.subjectnatural gas priceen_US
dc.subjectmultivariate DCC-GARCH modelsen_US
dc.titleEconomic Policy Uncertainty and Energy Prices: Empirical Evidence from Multivariate DCC-GARCH Modelsen_US
dc.typeArticleen_US

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