Oil uncertainty and the price-cost markup: Evidence from U.S. data

Xiaohan Ma

Energy Economics, 2023, vol. 124, issue C

Abstract: This paper investigates the implications of uncertainty in the oil and gas sector for the dynamics of the price-cost markup at the business cycle frequency. We estimate a structural VAR model using U.S. quarterly data for the period 1982q2:2018q4, and find that an increase in oil uncertainty reduces the measured price-cost markup and economic activities. This result is consistent with the prediction of a calibrated New-Keynesian model with oil uncertainty shocks. These findings also provide insights into the relevance of the markup as a transmission channel of oil uncertainty.

Keywords: Oil uncertainty; Price-cost markup; SVAR; New-Keynesian; U.S. data (search for similar items in EconPapers)
JEL-codes: C51 D80 E32 Q43 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002268

DOI: 10.1016/j.eneco.2023.106728

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