Abstract:
Economies are under the influence of global macroeconomic variables as well as national macroeconomic variables.
In this context, global economic policy uncertainties are used as an important variable.
The relationship between economic uncertainties and energy prices in the literature is examined over oil prices,
and natural resources such as coal and natural gas, which have a significant share in world energy consumption, are rarely discussed.
In this study, the relationship between the global economic policy uncertainty index and the prices of fossil fuels coal, natural gas,
and oil as natural resources has been examined with the Markov Switching VAR Model. The model used enables the analysis of uncertainty
and energy prices variables, which are directly affected by the expansion and recession periods of the world economy, under different regimes.
As a result of the model application, it has been concluded that there is an asymmetrical relationship between global economic policy uncertainties and
oil, coal, and natural gas prices, especially during the expansion periods of the global economy, and that the 1 standard deviation shock in all energy
prices is explained by the global economic policy uncertainty index by approximately 50%.
Keywords: GEPU, Oil Prices, Coal Prices, Natural Gas Prices, MS-VAR
Abstract: Economies are under the influence of global macroeconomic variables as well as national macroeconomic variables. In this context, global economic policy uncertainties are used as an important variable. The relationship between economic uncertainties and energy prices in the literature is examined over oil prices, and natural resources such as coal and natural gas, which have a significant share in world energy consumption, are rarely discussed. In this study, the relationship between the global economic policy uncertainty index and the prices of fossil fuels coal, natural gas, and oil as natural resources has been examined with the Markov Switching VAR Model. The model used enables the analysis of uncertainty and energy prices variables, which are directly affected by the expansion and recession periods of the world economy, under different regimes. As a result of the model application, it has been concluded that there is an asymmetrical relationship between global economic policy uncertainties and oil, coal, and natural gas prices, especially during the expansion periods of the global economy, and that the 1 standard deviation shock in all energy prices is explained by the global economic policy uncertainty index by approximately 50%.
Keywords: GEPU, Oil Prices, Coal Prices, Natural Gas Prices, MS-VAR
JEL codes: Q47, Q3
DOI: ...