Sheng, XinGupta, RanganJi, Qiang2024-07-172024-07-172023-11Sheng, 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/risks11110186.2227-9091 (online)10.3390/risks11110186http://hdl.handle.net/2263/97061DATA AVAILABITY STATEMENT: Data are available from the authors upon request.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© 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/).Oil shocksExpected macroeconomic skewnessUS economyLocal projection modelImpulse response functionsUnited States (US)SDG-08: Decent work and economic growthArticle