Irfan A. Qureshi

Irfan A. QureshiIrfan A. QureshiIrfan A. Qureshi
  • Home
  • Curriculum vitae
  • Education
  • OPU Index
  • Policy Writings
  • Research
  • More
    • Home
    • Curriculum vitae
    • Education
    • OPU Index
    • Policy Writings
    • Research

Irfan A. Qureshi

Irfan A. QureshiIrfan A. QureshiIrfan A. Qureshi
  • Home
  • Curriculum vitae
  • Education
  • OPU Index
  • Policy Writings
  • Research

Oil Price Uncertainty Index

Overview

Abdul Abiad and Irfan Qureshi develop a news-based index of oil price uncertainty (OPU) using textual analysis techniques using news articles mined from top 50 news outlets in an online aggregator of global news. The OPU index captures important historical and current news events in the oil market, such as the oil shock of the 1970s, the oil glut of the 1980s, as well as shocks in the oil market driven by precautionary demand (such as those that emerged because of geopolitical tensions in the Middle East). The news-based global index of OPU complements and improves upon market-based measures of oil price volatility, such us the oil volatility index (OVX). Relative to this measures, the OPU index captures key peak periods by displaying higher average and second moments, such as during the Iranian revolution and the oil glut of the 1980s, and covers a lengthier time period. OPU is an important source of macroeconomic fluctuations in the U.S. Negative effects of OPU sharpen in the presence of the Zero-Lower Bound (ZLB). OPU exerts an economically meaningful impact on global economic conditions.


Please cite as: Abiad, A. and Qureshi, I.A., 2023. The macroeconomic effects of oil price uncertainty. Energy Economics, 125, p.106839.

Download LATEST data here

OPU index (xlsx)

Download

Description

In constructing the index, Abiad and Qureshi consider the set of English-language articles with at least 100 words published in 50 newspapers around the world. They exclude sports articles, editorials, abstracts, adverts and sponsored content, blogs, opinion pieces, country profiles, transcripts, press releases, and other types of articles that are not standard news items.


For this set of articles, and for each newspaper and month, they count the ones that contain "oil," "petrol," "petroleum," "gas" or "gasoline" within two words of "pric*," and in which "pric*" appears within two words of "uncert*," "volatil*," "fluct*," "erratic," "unstable," "unsteady," "chang*," "unpredict*," "vary*," "swing*" or "move*." They scale these raw OPU counts by the number of articles in the same newspaper and month. Next, they standardize each newspaper's scaled frequency counts to have a unit standard deviation over the sample. 

Copyright © 2024 iqureshi - All Rights Reserved.

Powered by GoDaddy

This website uses cookies.

We use cookies to analyze website traffic and optimize your website experience. By accepting our use of cookies, your data will be aggregated with all other user data.

Accept