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The impacts of structural oil shocks on macroeconomic uncertainty: Evidence from a large panel of 45 countries
Sheng, Xin; Gupta, Rangan; Ji, Qiang
Source PublicationENERGY ECONOMICS
AbstractUsing 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. (C) 2020 Elsevier B.V. All rights reserved.
2020
Volume91
DOI10.1016/j.eneco.2020.104940
Language英语
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Document Type期刊论文
Identifierhttp://ir.casisd.cn/handle/190111/9764
Collection中国科学院科技战略咨询研究院
Recommended Citation
GB/T 7714
Sheng, Xin,Gupta, Rangan,Ji, Qiang. The impacts of structural oil shocks on macroeconomic uncertainty: Evidence from a large panel of 45 countries[J]. ENERGY ECONOMICS,2020,91.
APA Sheng, Xin,Gupta, Rangan,&Ji, Qiang.(2020).The impacts of structural oil shocks on macroeconomic uncertainty: Evidence from a large panel of 45 countries.ENERGY ECONOMICS,91.
MLA Sheng, Xin,et al."The impacts of structural oil shocks on macroeconomic uncertainty: Evidence from a large panel of 45 countries".ENERGY ECONOMICS 91(2020).
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