How does the economic policy uncertainty factor in the dynamics of oil price uncertainty?

Jacques Minlend ()
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Jacques Minlend: University of Rennes 1

Economics Bulletin, 2023, vol. 43, issue 1, 462 - 470

Abstract: This paper investigates the endogenous relationship between economic policy uncertainty (EPU) and oil price uncertainty within a framework of a supply-demand shock identification model. Our empirical strategy relies on a structural vector autoregressive approach. Our major findings reveal a significant increase in oil price uncertainty from a positive EPU shock. We also demonstrate that a negative oil supply shock contributes to raising oil price uncertainty, whereas a positive demand shock causes oil price uncertainty to decline.

Keywords: Oil price uncertainty; Economic policy uncertainty, Structural VAR. (search for similar items in EconPapers)
JEL-codes: E6 Q4 (search for similar items in EconPapers)
Date: 2023-03-30
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