Asymmetric Transmission of Oil Supply News

Mario Forni, Alessandro Franconi, Luca Gambetti and Luca Sala

No 18704, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We provide new evidence on the asymmetries in the transmission of oil supply news shocks 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 effects of a positive shock and dampening the expansionary effects of a negative shock. We find little evidence of an asymmetric response of monetary policy.

Keywords: Oil supply shocks; Asymmetry (search for similar items in EconPapers)
JEL-codes: C32 E31 E32 Q43 (search for similar items in EconPapers)
Date: 2023-12
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