Investor Sentiment and Oil Prices in the United States: Evidence From a Time-Varying Causality Test

Abstract

The question of the direction of causality between investor sentiment and oil prices remains moot in the literature. Using a recently developed time-varying causality test and monthly data, this study examines the causal relation between investor sentiment and oil prices in the United States. We find bidirectional causality between investor sentiment and oil prices over different time episodes.