International journal of energy studies (Online), vol.7, no.7, pp.1-20, 2022 (Peer-Reviewed Journal)
The uncertainty of climate policy and its impact on the petroleum markets has attracted the attention of
many researchers over the past two decades. Many research works have been conducted regarding the
reactions of each variable to the other and the present study aims to investigate the effects of climate
policy uncertainty on the US petroleum markets by taking the Climate Policy Uncertainty Index (CPU) and
the Petroleum Markets EMV tracker data (PEMV) based on monthly data which starts from Jan 2000 to
March 2021. We employ multiple tests by using the VAR model to analyze the collected data. First, the
results of the Granger causality test show no causality cause between the CPU and PEMV indices. Second,
the outcomes of the Impulse response test show only the reactions come to the variables themselves
positively but provide no meaning to the shocks of each variable to the other one. Lastly, the results of
the variance decomposition test imply that the variables highly lagged with their dynamics which is about
98 percentile for each variable.