Oil shocks and directional predictability of macroeconomic uncertainties of developed economies : evidence from high-frequency data
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Date
Authors
Shahzad, Syed Jawad Hussain
Gupta, Rangan
Demirer, Riza
Pierdzioch, Christian
Journal Title
Journal ISSN
Volume Title
Publisher
Wiley
Abstract
Using high-frequency (daily) data on macroeconomic uncertainties and the partial cross-quantilogram approach, we examine the directional predictability of disentangled oil-price shocks for the entire conditional distribution of uncertainties of five advanced economies (Canada, Euro Area, Japan, the United Kingdom, and the United States). Our results show that oil-demand, oil-supply, and financial-risk-related shocks can predict the future path of uncertainty; however, the predictive relationship is contingent on the initial level of macroeconomic uncertainty and the size of the shocks. Our results suggest that macroeconomic uncertainty is indeed predictable at high frequency, and that oil-price shocks capture valuable predictive information regarding the future path of macroeconomic uncertainties.
Description
Keywords
Developed economies, Directional predictability, Oil shocks, Partial cross-quantilograms, Uncertainty
Sustainable Development Goals
Citation
Shahzad, S.J.H., Gupta, R., Demirer, R. & Pierdzioch, C. Oil shocks and directional
predictability of macroeconomic uncertainties of developed economies: Evidence from high-frequency
data. Scottish Journal of Political Economy 2022;69:169–185. https://doi.org/10.1111/sjpe.12280.