The Spillover Effect of Crude Oil Prices on Energy Uncertainty Index

Aim – the key motive is to research the prevailing impact of select crude oil prices on the energy uncertainty index of economic uncertainty index on global perspective. Design/Methodology/Approach – in the current research paper, the time series data was collected from the secondary source of information from Federal Reserve Bank and Economic Uncertainty Index. The data was collected on monthly bases from Jan 2005 to Dec 2022. Further the accumulate information is analysed using ADF test, pairwise granger causality, covariance analysis, Johnson cointegration test to determine the cause and effect of crude oil prices on energy uncertainty index. Findings – the study has identified the cause and effect and integration among the crude oil prices and energy uncertainty index. There is stationary among the select variables. The analysis reveals that there is a cause and effect of among Brent prices and energy uncertainty index and there is an impact of Brent prices on energy uncertainty index. Further the WTI crude oil prices also cause and effect on Energy uncertainty index and they are cointegrated in long run. Research Limitation – the study provides a valuable understanding on crude oil price impact on energy uncertainty index. The long run cointegration is also identified using the Johnson cointegration test. Originality – This study is high original contribution to understand the impact, cause and effect of select crude oil prices on energy uncertainty index. The variables definitely be used for the further reference in elaborating the study in terms of crude oil impact in different study area.