Sheng_et_al_2020.docx (1.2 MB)
The impacts of structural oil shocks on macroeconomic uncertainty: Evidence from a large panel of 45 countries
journal contribution
posted on 2023-08-30, 17:43 authored by Xin Sheng, Rangan Gupta, Qiang JiUsing local projection methods, this paper employs monthly panel data from 1989 to 2017 to examine both linear and nonlinear impulse responses of macroeconomic uncertainty to structural shocks to global oil production, aggregate demand, oil-market-specific demand and speculative demand in a large group of 45 economies. We find that both oil supply and demand shocks are important drivers of uncertainty. There is strong evidence that the impacts of oil price shocks on macroeconomic uncertainty are regime-dependent and contingent on the states of investor sentiments and perceived volatility in financial markets. The responses of economic uncertainty to oil shocks, especially demand-side shocks, appear to experience a dramatic change in the post-Global Financial Crisis period.
History
Refereed
- Yes
Volume
91Page range
104940Publication title
Energy EconomicsISSN
0140-9883External DOI
Publisher
ElsevierFile version
- Accepted version
Language
- eng
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Legacy posted date
2020-09-24Legacy creation date
2020-09-24Legacy Faculty/School/Department
Faculty of Business & LawUsage metrics
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