Do Economic Policy Uncertainty, Climate Policy Uncertainty, and Financial Globalization Uncertainty Co-Move with Oil Market Fear? A Frequency Domain Analysis

Using a nonlinear autoregressive distributed lag and frequency domain analysis, this paper examines the impact of various uncertainty indicators on oil market fear (OMF) in Nigeria, from 1997M1-2020M3. The results show that economic policy uncertainty (EPU), climate policy uncertainty (CPU), and financial globalization uncertainty (FGU) have perverse effects on the OMF. We observed that a bi-directional causal relationship between EPU and the OMF exists temporarily. A unidirectional causal effect exists from CPU to OMF. We further show a bi-directional causal relationship between OMF and FGU. Policy recommendations are discussed accordingly.