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

Impact of Economic Uncertainty, Geopolitical Risk, Pandemic, Financial & Macroeconomic Factors on Crude Oil Returns -- An Empirical Investigation