Arbeitspapier
The effects of oil price uncertainty on the macroeconomy
This paper investigates the effect of oil price uncertainty on real economic activity using a quarterly VAR with stochastic volatility in mean. Stochastic volatility allows oil price uncertainty to vary separately from changes in the level of oil prices, and thus the impact of oil price uncertainty can be examined in a more flexible yet tractable way. In addition, this paper substantially improves on the recovery of a historical uncertainty series by incorporating an additional uncertainty indicator, i.e., a realized volatility series from daily oil price data, into the estimation process. The estimation results show that an oil price uncertainty shock alone has negative effects on world industrial production.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Canada Working Paper ; No. 2012-40
- Klassifikation
-
Wirtschaft
Business Fluctuations; Cycles
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Energy and the Macroeconomy
- Thema
-
Business fluctuations and cycles
Econometric and statistical methods
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Jo, Soojin
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Canada
- (wo)
-
Ottawa
- (wann)
-
2012
- DOI
-
doi:10.34989/swp-2012-40
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Jo, Soojin
- Bank of Canada
Entstanden
- 2012
Ähnliche Objekte (12)
How changes in oil prices affect the macroeconomy
On the tail risk premium in the oil market
Futures markets, oil prices and the intertemporal approach to the current account
Financial intermediaries and the macroeconomy: Evidence from a high-frequency identification
How oil supply shocks affect the global economy: Evidence from local projections
Price level versus inflation targeting under model uncertainty
The outlook for the global supply of oil: Running on faith?
Macroeconomic uncertainty through the lens of professional forecasters
Integrating uncertainty and monetary policy-making: A practitioner's perspective
What Fed funds futures tell us about monetary policy uncertainty
The role of financial speculation in driving the price of crue oil
Real-time forecasts of the real price of oil
How changes in oil prices affect the macroeconomy
On the tail risk premium in the oil market
Futures markets, oil prices and the intertemporal approach to the current account
Financial intermediaries and the macroeconomy: Evidence from a high-frequency identification
How oil supply shocks affect the global economy: Evidence from local projections
Price level versus inflation targeting under model uncertainty
The outlook for the global supply of oil: Running on faith?
Macroeconomic uncertainty through the lens of professional forecasters
Integrating uncertainty and monetary policy-making: A practitioner's perspective
What Fed funds futures tell us about monetary policy uncertainty
The role of financial speculation in driving the price of crue oil
Real-time forecasts of the real price of oil
How changes in oil prices affect the macroeconomy
On the tail risk premium in the oil market
Futures markets, oil prices and the intertemporal approach to the current account
Financial intermediaries and the macroeconomy: Evidence from a high-frequency identification
How oil supply shocks affect the global economy: Evidence from local projections
Price level versus inflation targeting under model uncertainty
The outlook for the global supply of oil: Running on faith?
Macroeconomic uncertainty through the lens of professional forecasters
Integrating uncertainty and monetary policy-making: A practitioner's perspective
What Fed funds futures tell us about monetary policy uncertainty
The role of financial speculation in driving the price of crue oil