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The role of oil price uncertainty shocks on oil-exporting countries

Sławomir Śmiech (), Monika Papież, Michał Rubaszek () and Małgorzata Snarska

Energy Economics, 2021, vol. 93, issue C

Abstract: This paper examines the effect of oil price uncertainty on industrial production and the exchange rates in four oil exporting countries, Canada, Mexico, Norway and Russia. Within the block-exogenous Bayesian SVAR framework we find that the oil price uncertainty shocks result in a persistent drop of industrial production, which is heterogeneous in its depth across the analysed countries. The exchange rate depreciates instantly in reaction to the oil price uncertainty shock, but this reaction is long-lasting only in the case of developing countries, Mexico and Russia. We show that oil price uncertainty shocks is an important driver of industrial production fluctuations in all oil exporting countries, whereas the contribution of these shocks to exchange rate fluctuations varies from country to country and is greatest in Mexico and the lowest for Norway.

Keywords: Oil-exporting countries; Oil price uncertainty; Bayesian SVAR model (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988320303686

DOI: 10.1016/j.eneco.2020.105028

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