 The macroeconomic effects of oil price uncertaintyEnergy Economics, 2023, vol. 125, issue C Abstract: We study the impact of oil price uncertainty (OPU) on macroeconomic activity. We construct a new measure of OPU by extracting information on oil markets from 50 newspapers around the world using textual analysis techniques. Our index spikes around important historical events, such as the oil price shock of the 1970s and the supply glut of the 1980s. The effects of OPU on macroeconomic activity are captured using Bayesian vector autoregressive techniques. OPU is an important source of macroeconomic fluctuations in the US, with industrial production displaying a maximum estimated drop of 0.34% almost 10 months after impact. These negative effects are sharpened when monetary policy is constrained by the Zero-Lower Bound. OPU exerts an economically meaningful impact on global economic conditions and affects economic activity in other industrialized countries. Keywords: Oil price uncertainty; Textual analysis; Business cycle fluctuations (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003377 DOI: 10.1016/j.eneco.2023.106839 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
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