Macroeconomic uncertainty, speculation, and energy futures returns: Evidence from a quantile regression

This paper aims to investigate the impact of the macroeconomic uncertainty index (MU) on the futures returns of energy, including crude oil, heating oil, and natural gas. The quantile regression is used in this paper for examining the heterogeneity across market conditions. The empirical results show that changes in MU negatively affect futures returns of crude oil and heating oil in downward market con-ditions, and positive changes in MU dominate this impact. The MU changes also have a negative effect on natural gas futures returns in an extremely downward period, but this impact is not asymmetric. Further analysis indicates that speculation mitigates the negative impact of positive MU changes on crude oil futures returns during downward periods, while the association of the MU changes with the futures returns of heating oil and natural gas is not affected by speculation.(c) 2021 Elsevier Ltd. All rights reserved.