CBOE Crude Oil Volatility Index &Effects On The American Economy – VAR Based Causality Analysis

It is a layman belief that macroeconomic performance affects oil price stability and not the other way round. This paper attempts to empirically investigate how Crude Oil Price Volatility affects the two pillars of macroeconomic performance i.e., Inflation and GDP Growth in the case of the United St...

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Bibliographic Details
Published inNeuroQuantology Vol. 20; no. 3; p. 930
Main Authors Sehgal, Deepak, Pandita, Abhijay, Sehgal, Svetlana
Format Journal Article
LanguageEnglish
Published Bornova Izmir NeuroQuantology 19.04.2023
Subjects
Causality
Conflicts of interest
Consumption
COVID-19
Crude oil
Crude oil prices
Data points
Disease transmission
Empirical analysis
GDP
Gross Domestic Product
International trade
Macroeconomics
Volatility
Wages & salaries
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Summary:It is a layman belief that macroeconomic performance affects oil price stability and not the other way round. This paper attempts to empirically investigate how Crude Oil Price Volatility affects the two pillars of macroeconomic performance i.e., Inflation and GDP Growth in the case of the United States of America. The study uses a Vector Auto-Regression (VAR) system in Stata and undertakes a combination of Granger Causality Tests for the period of January, 2017 - September, 2021 using monthly data points. We find that there exists a bi-directional causal relationship between real GDP growth and oil volatility, while inflation did not express empirically any relationship with the above variables. We then discuss theoretical evidence to bolster our empirical findings and analyze them thoroughly.
ISSN:1303-5150
DOI:10.48047/NQ.2022.20.3.NQ22943