How does economic policy uncertainty react to oil price shocks? A multi-scale perspective

Xiuwen Chen, Xiaolei Sun and Jianping Li

Applied Economics Letters, 2020, vol. 27, issue 3, 188-193

Abstract: This paper provides evidence for the impact of oil price shocks on economic policy uncertainty (EPU) from a multi-scale perspective using discrete wavelet transform and VAR model. Results indicate that oil price shocks impose a positive effect on EPU at an original level while effects of oil price shocks on EPU are time-varying over different time-scales. Particularly, oil price shocks lead to a positive change in the trend of EPU in the short- and long-term. Whereas, in the medium term, the negative effect of oil price shocks on EPU is identified.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:27:y:2020:i:3:p:188-193

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DOI: 10.1080/13504851.2019.1610704

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