Asymmetric transmission of oil supply news

Mario Forni, Alessandro Franconi, Luca Gambetti and Luca Sala

Quantitative Economics, 2025, vol. 16, issue 3, 947-979

Abstract: We provide new evidence on the asymmetries in the transmission of oil supply news shocks in the US using a nonlinear Proxy‐SVAR. A shock that increases oil prices has large and persistent effects on real activity and relatively small effects on prices. On the contrary, a shock that reduces oil prices has smaller real effects and large effects on prices. We rationalize these findings through the behavior of uncertainty: uncertainty increases independently of the sign of the shock, amplifying the contractionary real effects of a positive shock and dampening the expansionary real effects of a negative shock. The opposite holds for prices. We find little evidence of an asymmetric response of monetary policy.

Date: 2025
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https://doi.org/10.3982/QE2548

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Working Paper: Asymmetric Transmission of Oil Supply News (2023)
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