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The Impacts of Structural Oil Shocks on Macroeconomic Uncertainty: Evidence from a Large Panel of 45 Countries

Author

Listed:
  • Xin Sheng

    (Lord Ashcroft International Business School, Anglia Ruskin University, Chelmsford, CM1 1SQ, United Kingdom)

  • Rangan Gupta

    () (Department of Economics, University of Pretoria, Pretoria, South Africa)

  • Qiang Ji

    (Institutes of Science and Development, Chinese Academy of Sciences, Beijing 100190, China)

Abstract

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.

Suggested Citation

  • Xin Sheng & Rangan Gupta & Qiang Ji, 2020. "The Impacts of Structural Oil Shocks on Macroeconomic Uncertainty: Evidence from a Large Panel of 45 Countries," Working Papers 202024, University of Pretoria, Department of Economics.
  • Handle: RePEc:pre:wpaper:202024
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    Cited by:

    1. Matteo Bonato & Rangan Gupta & Christian Pierdzioch, 2020. "Do Oil-Price Shocks Predict the Realized Variance of U.S. REITs?," Working Papers 2020100, University of Pretoria, Department of Economics.
    2. Rangan Gupta & Xin Sheng & Christian Pierdzioch & Qiang Ji, 2021. "Disaggregated Oil Shocks and Stock-Market Tail Risks: Evidence from a Panel of 48 Countries," Working Papers 202106, University of Pretoria, Department of Economics.

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    More about this item

    Keywords

    Oil shocks; uncertainty; local projections; regime-dependent;
    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
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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