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Effects of oil market sentiment on macroeconomic variables

Author

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  • de Medeiros, Rennan Kertlly
  • da Silva Bejarano Aragón, Edilean Kleber
  • Besarria, Cássio da Nóbrega

Abstract

This paper aims to evaluate the effects of oil price shocks on macroeconomic variables, for the economies of the United States and Brazil. We develop a variable that measures the volatility of oil prices, from a textual sentiment analysis. We evaluate oil price shocks using the Local Projection method. Our results suggest that changes in oil prices cause larger impacts on the US economy, compared to the effects on the Brazilian economy. The responses of the US and Brazilian variables were similar when using the sentiment indicator or the VIX volatility index. Finally, we find that decreasing the frequency of the variables, together with changing the method, does not change the response trajectories of the macroeconomic variables.

Suggested Citation

  • de Medeiros, Rennan Kertlly & da Silva Bejarano Aragón, Edilean Kleber & Besarria, Cássio da Nóbrega, 2023. "Effects of oil market sentiment on macroeconomic variables," Resources Policy, Elsevier, vol. 83(C).
    • Handle: RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003537
    DOI: 10.1016/j.resourpol.2023.103642
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    More about this item

    Keywords

    Energy economics; Oil prices; Oil shocks; Local projection;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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