Author(s): Yan Han

Abstract: Based on continuous wavelet transform and volatility spillover index of VAR system, this paper quantifies the relationship between economic policy uncertainty and oil price. The result of continuous wavelet transform shows the international oil price is notably related to economic policy uncertainty of world’s major economies in 4-month time scope or longer. Besides, the economic policy uncertainty has dynamic net volatility spillover effect to oil price which shows a upward trend. In the background of intensified global economic friction, the research of economic policy uncertainty and oil price relationship is of great realistic significance to ensure China’s energy security.

Keywords: Economic policy uncertainty;Oil price;Wavelet analysis;Spillover volatility effect.

Article Info: Received: 02 Apr 2021; Received in revised form: 01 May 2021; Accepted: 11 May 2021; Available online: 07 Jun 2021

DOI: 10.22161/ijels.63.30