The effects of disaggregate oil shocks on the aggregate expected skewness of the United States

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dc.contributor.author Sheng, Xin
dc.contributor.author Gupta, Rangan
dc.contributor.author Ji, Qiang
dc.date.accessioned 2024-07-17T05:00:04Z
dc.date.available 2024-07-17T05:00:04Z
dc.date.issued 2023-11
dc.description DATA AVAILABITY STATEMENT: Data are available from the authors upon request. en_US
dc.description.abstract We examine the impact of the global economic activity, oil supply, oil-specific consumption demand, and oil inventory demand shocks on the expected aggregate skewness of the United States (US) economy, obtained based on a data-rich environment involving 211 macroeconomic and financial variables in the quarterly period of 1975:Q1 to 2022:Q2. We find that positive oil supply and global economic activity shocks increase the expected macroeconomic skewness in a statistically significant way, with the effects being relatively more pronounced in the lower regime of the aggregate skewness factor, i.e., when the US is witnessing downside risks. Interestingly, oil-specific consumption demand and oil inventory demand shocks contain no predictive ability for the overall expected skewness. With skewness being a metric for policymakers to communicate their beliefs about the path of future risks, our results have important implications for policy decisions. en_US
dc.description.department Economics en_US
dc.description.sdg SDG-08:Decent work and economic growth en_US
dc.description.uri https://www.mdpi.com/journal/risks en_US
dc.identifier.citation Sheng, Xin, Rangan Gupta, and Qiang Ji. 2023. The Effects of Disaggregate Oil Shocks on the Aggregate Expected Skewness of the United States. Risks 11: 186. https://doi.org/10.3390/risks11110186. en_US
dc.identifier.issn 2227-9091 (online)
dc.identifier.other 10.3390/risks11110186
dc.identifier.uri http://hdl.handle.net/2263/97061
dc.language.iso en en_US
dc.publisher MDPI en_US
dc.rights © 2023 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https:// creativecommons.org/licenses/by/ 4.0/). en_US
dc.subject Oil shocks en_US
dc.subject Expected macroeconomic skewness en_US
dc.subject US economy en_US
dc.subject Local projection model en_US
dc.subject Impulse response functions en_US
dc.subject United States (US) en_US
dc.subject SDG-08: Decent work and economic growth en_US
dc.title The effects of disaggregate oil shocks on the aggregate expected skewness of the United States en_US
dc.type Article en_US


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