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dc.contributor.author | Sheng, Xin![]() |
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dc.contributor.author | Gupta, Rangan![]() |
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dc.contributor.author | Ji, Qiang![]() |
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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 |