Oil prices and economic policy uncertainty: Evidence from a nonparametric panel data model
Abebe Hailemariam,
Russell Smyth and
Xibin Zhang ()
Energy Economics, 2019, vol. 83, issue C, 40-51
Abstract:
We examine the relationship between oil prices and economic policy uncertainty in G7 countries. To do so, we employ a nonparametric panel data technique that allows the trend and coefficient functions to evolve as unknown time-varying functional forms. We also estimate country-specific and common trend functions allowing them to evolve over time. Using monthly data from G7 countries over the period 1997:01–2018:06, we find that the effect of oil prices on economic policy uncertainty is time-varying. Our results show that the estimated time-varying coefficient function of the oil price was negative in years in which increases in oil prices were driven by a surge in global aggregate demand. Further, our nonparametric local linear estimates show that the country-specific and common trend functions are increasing over time. Our findings are robust to endogeneity and alternative specifications.
Keywords: Oil prices; Economic policy uncertainty; Time-varying coefficient function; Nonparametric panel data (search for similar items in EconPapers)
JEL-codes: C14 E30 E60 G18 Q43 Q48 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (107)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140988319301975
Full text for ScienceDirect subscribers only
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:83:y:2019:i:c:p:40-51
DOI: 10.1016/j.eneco.2019.06.010
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
Bibliographic data for series maintained by Catherine Liu ().