This paper examines the dynamic impact of economic activity, Baltic dry bulk and economic policy uncertainty on oil prices. Drawing on demand-side economic theory, we focus on how economic activity and economic policy uncertainty drive oil prices and subsequently contribute to the formation of market equilibrium. In this context, we first introduce a unidirectional quantile and time-varying Granger-causality mechanism for the drivers of oil prices. Our novel rolling window quantile Granger causality approach reveals that economic activity drives crude oil price fluctuations and highlights their important role in market imbalances. In particular, economic activity and the Baltic exchange rate index emerge as essential drivers of oil prices, confirming our hypothesis of a demand-side effect. Moreover, our robustness wavelet quantile correlation (WQC) analyses reveal that economic activity promotes oil price fluctuations along both long-term equilibrium trends and short-term dynamics. In contrast, economic policy uncertainty has a dampening effect on oil prices. More broadly, economic activity is positively correlated with the Baltic exchange dry index, highlighting its broader impact on global trade indicators. Moreover, we use a bivariate Quantile on Quantile regression method to identify the equilibrium searches of different thresholds and estimate the robustness of the validity of the WQC findings. Analyzing the quantile and frequency connectedness spillovers, we observe that shocks from economic activity are particularly pronounced in the tail quantiles, reinforcing the demand-side narrative. Overall, the increased risk in extreme tails underscores the increased interaction between economic activity, oil prices and economic policy uncertainties. Our findings have important implications for policymakers and highlight the need for adaptive strategies to manage potential oil price shocks. Thus, by adopting a demand-side perspective, policymakers can better anticipate and respond to oil price fluctuations, promoting more resilient economic policies.

中文翻译：

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经济活动、干散货货运和经济政策不确定性是油价的驱动因素：尾部行为时变因果关系


本文研究了经济活动、波罗的海干散货和经济政策不确定性对油价的动态影响。借鉴需求侧经济理论，我们关注经济活动和经济政策不确定性如何推动油价，进而促进市场均衡的形成。在此背景下，我们首先为油价的驱动因素引入了一个单向分位数和时变 Granger-因果关系机制。我们新颖的滚动窗口分位数格兰杰因果关系方法揭示了经济活动推动了原油价格波动，并突出了它们在市场失衡中的重要作用。特别是，经济活动和波罗的海汇率指数成为油价的重要驱动力，证实了我们关于需求侧效应的假设。此外，我们的稳健性小波分位数相关 （WQC） 分析表明，经济活动会促进油价沿长期均衡趋势和短期动态波动。相比之下，经济政策的不确定性对油价有抑制作用。更广泛地说，经济活动与波罗的海外汇干散货指数呈正相关，凸显了其对全球贸易指标的更广泛影响。此外，我们使用双变量 Quantile on Quantile 回归方法来识别不同阈值的均衡搜索，并估计 WQC 结果有效性的稳健性。通过分析分位数和频率连通性溢出效应，我们观察到经济活动的冲击在尾部分位数中尤为明显，从而强化了需求侧的叙述。总体而言，极端尾部风险的增加凸显了经济活动、油价和经济政策不确定性之间的相互作用增加。 我们的研究结果对政策制定者具有重要意义，并强调了制定适应性策略来管理潜在油价冲击的必要性。因此，通过采用需求侧视角，政策制定者可以更好地预测和应对油价波动，从而促进更具韧性的经济政策。