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Title: Global oil market uncertainty and oil prices Authors:  Bing Xu - Heriot-Watt University (United Kingdom) [presenting]
Abstract: New measures of global oil-market uncertainty are proposed and they are related to the real price of oil. Supply and demand are clearly important, a factor which has been overlooked in this debate is the impact of uncertainty on the oil market. So far, the literature has primarily relied on macroeconomic or oil price uncertainty proxies such as the implied or realized volatility of stock market returns or oil prices, the cross-sectional dispersion of forecasts. The potential issues are they are based on structure of specific theoretical models or relied on single or small number of observable indicators. To the best of our knowledge, we are the first one to use factor augmented vector autoregression to construct time-varying global oil market uncertainty in a data-rich environment. Our estimates display significant independent variations from popular uncertainty proxies. We also find there is a negative role for oil market uncertainty as a determinant of oil prices.