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Oil price uncertainty and the relation to tanker shipping

Pouliasis, P. K. ORCID: 0000-0002-7389-3722 (2023). Oil price uncertainty and the relation to tanker shipping. International Journal of Finance and Economics, 29(2), pp. 2472-2494. doi: 10.1002/ijfe.2792


This paper investigates whether time variation in the returns’ co-movement of oil and Baltic Dirty Tanker Index can be linked to oil market uncertainty. We measure uncertainty using a battery of different proxies considering both parametric and nonparametric methods and study its role from both statistical and economic perspectives. Using a regression framework combined with regime switching analysis, we show that oil price uncertainty and the future correlation of oil and dirty-tanker returns are negatively associated. This negative association is more pronounced in highly volatile periods. The identified regimes are directly linked to high-low crude oil volatility periods with implications on the level of correlation they exhibit to oil returns. Results are robust across crudes and volatility measures. Additional robustness checks corroborate that results hold for individual dirty-tanker routes and clean-tanker cargoes.

Publication Type: Article
Additional Information: This is an open access article under the terms of the Creative Commons Attribution-NonCommercial License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited and is not used for commercial purposes. © 2023 The Authors. International Journal of Finance & Economics published by John Wiley & Sons Ltd.
Publisher Keywords: volatility, time-varying correlation, uncertainty, regime-shifting analysis, tanker shipping
Subjects: H Social Sciences > HD Industries. Land use. Labor
H Social Sciences > HF Commerce
Departments: Bayes Business School > Finance
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