Oil price uncertainty and climate risks

Apostolos Serletis and Libo Xu
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Libo Xu: Lakehead University

Journal of Economics and Finance, 2023, vol. 47, issue 2, No 3, 323-332

Abstract: Abstract We investigate whether the United States economy responds negatively to oil price uncertainty and whether oil price shocks exert asymmetric effects on economic activity. In doing so, we use monthly data and modify the (Elder and Serletis J Money Credit Bank 42, 1138–1159, 2010) bivariate structural GARCH-in-Mean VAR to accommodate the interaction between oil price uncertainty and the climate risk factors recently constructed by Faccini et al. (2021). We find evidence that oil price uncertainty has a negative and statistically significant effect on the growth rate only when it intereacts with the Faccini et al. (2021) international summits textual factor.

Keywords: Oil price shocks; Oil price uncertainty; Climate risk factors (search for similar items in EconPapers)
JEL-codes: C32 E32 G31 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s12197-022-09611-w

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