Structural oil price shocks and policy uncertainty
Wensheng Kang and
Ronald Ratti
MPRA Paper from University Library of Munich, Germany
Abstract:
Increases in the real price of oil not explained by changes in global oil production or by global real demand for commodities are associated with significant increases in economic policy uncertainty. Oil-market specific demand shocks account for 30% of conditional variation in economic policy uncertainty and 21.5% of conditional variation in CPI forecast interquartile range after 24 months. Positive shocks due to global real aggregate demand for commodities significantly reduce economic policy uncertainty. Structural oil price shocks appear to have long-term consequences for economic policy uncertainty, and to the extent that the latter has impact on real activity the policy connection provides an additional channel by which oil price shocks have influence on the economy. As a robustness check, structural oil price shocks are significantly associated with economic policy uncertainty in Europe and energy-exporting Canada.
Keywords: Oil prices; policy uncertainty; structural VAR (search for similar items in EconPapers)
JEL-codes: E31 E60 Q41 Q43 (search for similar items in EconPapers)
Date: 2013-04-07
New Economics Papers: this item is included in nep-ene, nep-mac and nep-spo
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (215)
Published in Economic Modelling 35 (2013): pp. 314-319
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/49007/1/MPRA_paper_49007.pdf original version (application/pdf)
Related works:
Journal Article: Structural oil price shocks and policy uncertainty (2013) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:49007
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().