Are the macroeconomic effects on oil price asymmetric? An asymmetric quantile regression approach

Abstract

Purpose

This paper aims to contribute to the clarification of whether the dependence and causality between oil and the macrofundamentals change across different quantiles of the distribution function.

Design/methodology/approach

Within the context of an asymmetric quantile approach, we drop the assumption that variables operate at the upper tails of the distribution in the way that they operate at the mean.

Findings

Our innovative approach indicates that the response of oil prices not only differs according to the underlying source of the variables shock but also differs across the quantiles.

Originality/value

Although a number of recent studies are closely related to our present research, our novel findings offer some important insights that foreshadow the empirical results. The current research addresses to answer the following questions, in sequence: (i) Is there any extreme value dependence between the crude oil and macroeconomic variables? If yes, (ii) is the dependence symmetric or asymmetric? Finally, (iii) can this dependence be driven by the phases of the economic cycle?

Citation

Alqaralleh, H. (2022), "Are the macroeconomic effects on oil price asymmetric? An asymmetric quantile regression approach", International Journal of Energy Sector Management, Vol. 16 No. 5, pp. 1000-1014. https://doi.org/10.1108/IJESM-02-2021-0017