The impacts of structural oil shocks on macroeconomic uncertainty : evidence from a large panel of 45 countries

dc.contributor.authorSheng, Xin
dc.contributor.authorGupta, Rangan
dc.contributor.authorJi, Qiang
dc.contributor.emailrangan.gupta@up.ac.zaen_ZA
dc.date.accessioned2021-09-27T14:51:00Z
dc.date.issued2020-09
dc.description.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.en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.embargo2022-03-03
dc.description.librarianhj2021en_ZA
dc.description.sponsorshipThe National Natural Science Foundation of China and Youth Innovation Promotion Association of Chinese Academy of Sciences.en_ZA
dc.description.urihttp://www.elsevier.com/locate/enecoen_ZA
dc.identifier.citationSheng, X., Gupta, R. & Ji, Q. 2020, 'The impacts of structural oil shocks on macroeconomic uncertainty: Evidence from a large panel of 45 countries', Energy Economics, vol. 91, art. 104940, pp. 1-9.en_ZA
dc.identifier.issn0140-9883 (print)
dc.identifier.issn1873-6181 (online)
dc.identifier.other10.1016/j.eneco.2020.104940
dc.identifier.urihttp://hdl.handle.net/2263/81961
dc.language.isoenen_ZA
dc.publisherElsevieren_ZA
dc.rights© 2020 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Energy Economics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Energy Economics, vol. 91, art. 104940, pp. 1-9, 2020. doi : /10.1016/j.eneco.2020.104940.en_ZA
dc.subjectOil shocksen_ZA
dc.subjectUncertaintyen_ZA
dc.subjectLocal projectionsen_ZA
dc.subjectRegime-dependent impulse responsesen_ZA
dc.titleThe impacts of structural oil shocks on macroeconomic uncertainty : evidence from a large panel of 45 countriesen_ZA
dc.typePostprint Articleen_ZA

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