How does the economic policy uncertainty factor in the dynamics of oil price uncertainty?

Jacques Minlend ()
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Jacques Minlend: CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR - Université de Rennes - CNRS - Centre National de la Recherche Scientifique

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Abstract: This paper investigates the endogenous relationship between economic policy uncertainty (EPU) and oil price uncertainty within a framework of a supply-demand shock identification model. Our empirical strategy relies on a structural vector autoregressive approach. Our major findings reveal a significant increase in oil price uncertainty from a positive EPU shock. We also demonstrate that a negative oil supply shock contributes to raising oil price uncertainty, whereas a positive demand shock causes oil price uncertainty to decline.

Date: 2023
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Published in Economics Bulletin, 2023, 43 (1), pp.462 - 470

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04700376

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