This study mainly investigates the predictability prowess of global economic policy uncertainty (GEPU) for oil price volatility under different market episodes. The results clearly show that the GEPU-oil price volatility nexus is episodic in nature. While evidence of mean reverting stance is confirmed across the sectionalized market phases, the long-term impact of GEPU in the nexus holds true for the Covid-19 pandemic, Russia-Ukraine war, and oil price shock episodes.
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Yinka Hammed (2024) studied this question.
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