Assessing the impacts of global economic policy uncertainty and the long-term bond yields on oil prices

Purpose Might the impact of global economic policy uncertainty (GEPU) and long-term bond yields on oil prices be asymmetric? This paper aims to consider effects GEPU US government using quantile-based analysis nonlinear vector autoregression (VAR) model. The author hypothesized whether negative positive changes in USA have different prices. Design/methodology/approach To address this question, uses quantile cointegration model impulse response functions (IRFs) censored variable approach Kilian Vigfusson (2011). Findings test showed existence non-linear relationship, whereas Granger-causality revealed that positive/negative variations will opposite result was supported by regression model’s coefficients VAR IRFs; more specifically, it stressed increasing/decreasing deaccelerate/accelerate activity thus lead a fall/rise On other hand, empirical models indicated 10-year is asymmetrical, while found deterioration borrowing conditions may an slowing down activity. Originality/value As robustness check results, slope-based Mork used.