Title: How to measure oil market uncertainty: An application of Google Trends
Authors: Marc Gronwald - University of Aberdeen (United Kingdom)
Esti Tri Widyastuti - University of Aberdeen (United Kingdom) [presenting]
Abstract: An oil market specific uncertainty measure is proposed based on Google Trends. Frequent Google searches for terms such as oil prices, OPEC, and oil demand are assumed to capture oil market uncertainty. A careful comparison of this newly proposed uncertainty measure with some recently proposed in the literature shows a remarkable degree of similarity. In other words, the crude oil market is found to be an important source of both economic and financial market uncertainty. Furthermore, the empirical relationship between the newly proposed measure and some oil market specific variables such as oil exploration activity is analysed using a standard VAR approach. The results indicate that uncertainty shocks affect exploration and, in turn, future oil production, negatively and significantly.