Effects of oil market sentiment on macroeconomic variables

Rennan Kertlly de Medeiros, Edilean da Silva Bejarano Aragón () and Cássio Besarria

Resources Policy, 2023, vol. 83, issue C

Abstract: This paper aims to evaluate the effects of oil price shocks on macroeconomic variables, for the economies of the United States and Brazil. We develop a variable that measures the volatility of oil prices, from a textual sentiment analysis. We evaluate oil price shocks using the Local Projection method. Our results suggest that changes in oil prices cause larger impacts on the US economy, compared to the effects on the Brazilian economy. The responses of the US and Brazilian variables were similar when using the sentiment indicator or the VIX volatility index. Finally, we find that decreasing the frequency of the variables, together with changing the method, does not change the response trajectories of the macroeconomic variables.

Keywords: Energy economics; Oil prices; Oil shocks; Local projection (search for similar items in EconPapers)
JEL-codes: C22 Q41 Q43 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003537

DOI: 10.1016/j.resourpol.2023.103642

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