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

doi:10.1016/j.eneco.2020.104940

CASISD OpenIR

	The impacts of structural oil shocks on macroeconomic uncertainty: Evidence from a large panel of 45 countries
	Sheng, Xin; Gupta, Rangan; Ji, Qiang
发表期刊	ENERGY ECONOMICS
摘要	Using 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. (C) 2020 Elsevier B.V. All rights reserved.
	2020
卷号	91
DOI	10.1016/j.eneco.2020.104940
语种	英语
引用统计
文献类型	期刊论文
条目标识符	http://ir.casisd.cn/handle/190111/9764
专题	中国科学院科技战略咨询研究院
推荐引用方式 GB/T 7714	Sheng, Xin,Gupta, Rangan,Ji, Qiang. The impacts of structural oil shocks on macroeconomic uncertainty: Evidence from a large panel of 45 countries[J]. ENERGY ECONOMICS,2020,91.
APA	Sheng, Xin,Gupta, Rangan,&Ji, Qiang.(2020).The impacts of structural oil shocks on macroeconomic uncertainty: Evidence from a large panel of 45 countries.ENERGY ECONOMICS,91.
MLA	Sheng, Xin,et al."The impacts of structural oil shocks on macroeconomic uncertainty: Evidence from a large panel of 45 countries".ENERGY ECONOMICS 91(2020).