Economic Policy Uncertainty and Energy Prices: Empirical Evidence from Multivariate DCC-GARCH Models

Crude oil and natural gas are crucial to the Russian economy. Therefore, this study examined interconnections between crude price, economic policy uncertainty (EPU) over period 1994–2019 using multivariate DCC-MGARCH models. The findings show that there strong (co-movement) energy prices EPU in Russia, it might be misleading assume independence or neutrality variables. Although Russia is also a player both markets, reveals stronger co-movement of with price than price. largest exporter second-largest producer; plausible correlates more Further, correlation have similar patterns. Each declines almost same and, equally, increases concurrently. In addition, results revealed significant global shocks crises, such as 2008 financial crisis, 2014–2017 9/11 terrorist attack, Russo–Ukrainian conflicts, influence EPU.