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Uncertainty-dependent and sign-dependent effects of oil market shocks

Nguyen, Bao; Okimoto, Tatsuyoshi; Tran, Trung Duc

Description

This paper investigates the uncertainty-dependent and sign-dependent effects of the oil market fundamental shocks, namely supply, aggregate demand and oil-specific demand shocks. We do so by first proposing a novel oil uncertainty index that is measured by the stochastic volatility of the unpredictable component of oil prices. We then employ a nonlinear model and find that the all reactions of oil production, real price of oil, and global economic activity to the structural shocks are...[Show more]

CollectionsANU Research Publications
Date published: 2022
Type: Journal article
URI: http://hdl.handle.net/1885/299420
Source: Journal of Commodity Markets
DOI: 10.1016/j.jcomm.2021.100207

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