How do the reserve currency and uncertainties in major markets affect the uncertainty of oil prices over time?
使用分位数回归方法，研究美元、黄金、货币和股票市场的不确定性在不同油价不确定性水平下对油价不确定性的影响，发现高不确定性时期影响更大，且正负冲击效应在危机期间差异显著。
Abstract This research aims to understand how certain events, like the global financial crisis, the post‐global financial crisis period, the COVID‐19 pandemic, and the Russia‐Ukraine war, along with changes in the value of the US dollar and uncertainty in gold, currency, and stock markets, affect the uncertainty in oil prices. We are particularly interested in looking at positive and negative changes in these factors when oil price uncertainty is either high or low. To achieve this, we use a quantile regression method, which allows us to analyse different levels of oil price uncertainty effectively. Throughout the whole timeframe we looked at, the initial findings suggest that when there is much uncertainty in the oil market, the US dollar and uncertainty in major markets have a bigger influence on making the oil market more uncertain, compared to times when there is not much uncertainty about oil prices. We also noticed that the impacts of negative and positive changes in the reserve currency, and uncertainties are quite different when crises happen. To cite an example, when there is much uncertainty about oil prices, positive expectations about economic activity (because the reserve currency is weaker) and confidence in the stock market (less worry about a shock in the stock market) have a stronger impact, reducing uncertainty in oil prices during the global financial crisis. On the other hand, more negative effects from pessimistic expectations (due to a stronger US dollar and increased fear of a shock in the stock market) lead to higher oil price uncertainty during the COVID‐19 pandemic. According to what we have discovered in our analysis, policymakers and investors should evaluate how both negative and positive shifts in the reserve currency (US dollar) and uncertainties in gold, currency, and stock markets separately affect the uncertainty in oil prices. It is important to understand that these effects vary depending on the level of uncertainty in oil prices and the direction (positive or negative) and timing of the changes.