Do pandemic, trade policy and world uncertainties affect oil price returns?

We investigate the influence of pandemic and trade policy uncertainty on the dynamics of oil price returns over the two last decades, using a Mixed-Frequency Vector Autoregressive (MF-VAR) model. We find that pandemic uncertainty and, more importantly, trade policy uncertainty significantly explain EU Brent and WTI oil price returns. Additionally, pandemic and trade policy uncertainty shocks are linked with lower (higher) oil price returns in the short-term (medium-term). Finally, while our mixed-frequency approach captures the persistent response of oil price returns to the uncertainty shocks, the single common-frequency (i.e., quarterly) framework only uncovers a muted reaction.