Oil price uncertainty and the relation to tanker shipping

This article investigates whether time variation in the returns' co-movement of oil and Baltic Dirty Tanker Index can be linked to market uncertainty. We measure uncertainty using a battery different proxies considering both parametric non-parametric methods study its role from statistical economic perspectives. Using regression framework combined with regime switching analysis, we show that price future correlation dirty-tanker returns are negatively associated. negative association is more pronounced highly volatile periods. The identified regimes directly high-low crude volatility periods implications on level they exhibit returns. Results robust across crudes measures. Additional robustness checks corroborate results hold for individual routes clean-tanker cargoes.