  This study aims to use simultaneous quantile regression (SQR) to examine the
impact of macroeconomic and financial uncertainty including global pandemic,
geopolitical risk on the futures returns of crude oil (ROC). The data for this
study is sourced from the FRED (Federal Reserve Economic Database) economic
dataset; the importance of the factors have been validated by using variation
inflation factor (VIF) and principal component analysis (PCA). To fully
understand the combined effect of these factors on WTI, study includes
interaction terms in the multi-factor model. Empirical results suggest that
changes in ROC can have varying impacts depending on the specific period and
market conditions. The results can be used for informed investment decisions
and to construct portfolios that are well-balanced in terms of risk and return.
Structural breaks, such as changes in global economic conditions or shifts in
demand for crude oil, can cause return on crude oil to be sensitive to changes
in different time periods. The unique aspect ness of this study also lies in
its inclusion of explanatory factors related to the pandemic, geopolitical
risk, and inflation.
