eCite Digital Repository

Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production

Citation

Kang, W and Ratti, RA and Vespignani, JL, Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production, Energy Economics, 66 pp. 536-546. ISSN 0140-9883 (2017) [Refereed Article]


Preview
PDF
Pending copyright assessment - Request a copy
2Mb
  

DOI: doi:10.1016/j.eneco.2017.01.027

Abstract

Important interaction has been established for US economic policy uncertainty with a number of economic and financial variables including oil prices. This paper examines the dynamic effects of US and non-US oil production shocks on economic policy uncertainty using a structural VAR model. Such an examination is motivated by the substantial increases in US oil production in recent years with implications for US political and economic security. Positive innovations in US oil production are associated with decreases in US economic policy uncertainty. The economic forecast interquartile ranges about the US CPI and about federal/state/local government expenditures are particularly sensitive to innovations in US oil supply shocks. Shocks to US oil supply disruption causes rises in the CPI forecast uncertainty and accounts for 21% of the overall variation of the CPI forecaster disagreement. Dis-aggregation of oil production shocks into US and non-US oil production yields novel results. Oil supply shocks identified by US and non-US origins explain as much of the variation in economic policy uncertainty as structural shocks on the demand side of the oil market.

Item Details

Item Type:Refereed Article
Keywords:Oil prices, policy uncertainty, US oil production, Structural VAR
Research Division:Economics
Research Group:Applied Economics
Research Field:Financial Economics
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Monetary Policy
Author:Vespignani, JL (Dr Joaquin Vespignani)
ID Code:115213
Year Published:2017
Deposited By:Tasmanian School of Business and Economics
Deposited On:2017-03-10
Last Modified:2017-09-25
Downloads:0

Repository Staff Only: item control page