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

Citation

Nguyen, BH and Okimoto, T and Tran, TD, Uncertainty-dependent and sign-dependent effects of oil market shocks, Journal of Commodity Markets Article 100207. ISSN 2405-8513 (In Press) [Refereed Article]

Copyright Statement

2021 Published by Elsevier B.V.

DOI: doi:10.1016/j.jcomm.2021.100207

Abstract

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 regime-dependent. Moreover, we extend the model to accommodate positive and negative oil market shocks to examine the possible asymmetric effects. In relation to real economic activity, the effects of oil supply shocks are asymmetric regardless of the state of the market, but oil-specific demand shocks are only asymmetric when oil price uncertainty is high.

Item Details

Item Type:Refereed Article
Keywords:uncertainty-dependent, sign-dependent effects, oil market shocks
Research Division:Economics
Research Group:Econometrics
Research Field:Econometric and statistical methods
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Macroeconomics not elsewhere classified
UTAS Author:Nguyen, BH (Dr Bao Nguyen)
ID Code:147487
Year Published:In Press
Deposited By:Economics and Finance
Deposited On:2021-11-04
Last Modified:2022-01-17
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