Globally, the main energy source is oil, replaced by coal, gas, and hydropower, despite the rapid growth of other renewable resources (Ritchie and Rosado, 2024). The oil market is therefore of great importance in the global economy, serving as an important source of energy for households and many industries. Many countries rely heavily on oil as an important import and export commodity, thereby establishing oil as an important component of international trade (Lutz and Meyer, 2009). As a result, oil stands out as the most important world commodity. In this regard, the main determinants of oil market uncertainty are of great importance to policy makers and investors worldwide. Economic factors that can affect oil demand can determine the level of uncertainty in the oil market. Fluctuations in economic conditions, such as periods of growth or recession, can affect oil demand (Ghosh, 2009). Uncertainty surrounding the global economy, such as economic policy and financial instability, can shape expectations regarding future oil consumption and contribute to overall oil market uncertainty. Therefore, to understand the main mechanisms causing oil market uncertainty, it is necessary to carefully evaluate macroeconomic indicators that more accurately reflect the global economic situation.
Previous studies have investigated several factors that contribute to oil market uncertainty. A series of studies focuses on how uncertainty in economic conditions affects oil market uncertainty (Kisswani, 2021; Apostolakis et al., 2021; Lyu et al., 2021; Scarcioffolo and Etienne, 2021; Bakas and Triantafyllou, 2019; Mei et al., 2019; Wei et al., 2017). This body of research has emphasized the importance of macroeconomic uncertainty in the dynamics of crude oil price uncertainty. Other literature investigates the relationship between implied volatility (uncertainty) of options in oil, currency, gold, and stock markets (Naeem et al., 2023; Li, 2022; Dutta et al., 2021 ; Ding et al., 2021; Liu et al., 2020; Antonakakis et al., 2018; Maghyereh et al., 2016; these studies generally This suggests that there is a significant interaction.
Regarding the relationship between the US dollar and the oil market, the existing literature mainly focuses on crude oil prices rather than oil market uncertainties when considering the role of the US dollar in oil market trends. Previous studies have identified the US dollar as a key determinant of oil prices, highlighting its safe haven role and predictive power during periods of oil market turmoil (Lin et al. ., 2016; Zhang et al., 2008; Dai et al., 2016). , 2021; Ming et al., 2022; Schryder and Peersman, 2016). Several notable studies have shown a significant negative relationship between the US dollar and oil prices (Wen et al., 2018; Coudert and Mignon, 2016; Mo et al., 2018; Zhou et al. ., 2021; Akram, 2009). To obtain a more comprehensive understanding, some studies have adopted a causal approach and time-dependent analysis to investigate the relationship between the US dollar and oil prices (Benhmad, 2012; Wang and Chueh, 2013 ; Reboredo et al., 2014; Albulescu and Ajmi, 2021; Wang et al., 2022). These findings generally suggest that the relationship between the US dollar exchange rate and oil price trends may vary across time periods. Overall, previous studies have focused on the main transmission channels between the US dollar and oil prices. Uncertainty in the oil market can negatively impact various well-known economic indicators such as total production, durable consumption, and investment (Elder and Serletis, 2010). Therefore, it is essential to investigate the main sources of uncertainty in the oil market to enhance the understanding of market participants. In this regard, we shift our focus to another aspect of oil market dynamics, namely crude oil price uncertainty, in our study to address a major gap in the existing literature.
Existing studies have investigated specific macroeconomic figures and global market trends related to the dynamics of oil market uncertainty. Oil pricing and trading is done in US dollars. This means that changes in exchange rates can affect the costs associated with oil purchases in countries that use diverse currencies. A series of studies have scrutinized the dynamic relationship between the US dollar and oil prices. However, no study has yet investigated the main role of US dollar fluctuations in crude oil price uncertainty. Our study attempts to enhance the related research environment by assessing the relationship between the US dollar and crude oil price uncertainty. To achieve this objective, we use the CatBoost algorithm together with the Shapley Additive Explain (SHAP) approach to improve the interpretability of the algorithm. The SHAP procedure allows us to interpret the relative importance of the US dollar compared to other risk and uncertainty factors in predicting the level of uncertainty in the oil market. One of the most important purposes of using the SHAP approach is to investigate which economic risks or uncertainties have the greatest impact on changes in the US dollar. Our analysis provides useful insights to market participants regarding the main mechanisms behind changes in oil market uncertainty.
