Oil-Shocks and Directional Predictability of Macroeconomic Uncertainties of Developed Economies: Evidence from High-Frequency Data

Syed Jawad Hussain Shahzad, Rangan Gupta, Riza Demirer and Christian Pierdzioch

No 202031, Working Papers from University of Pretoria, Department of Economics

Abstract: Using high-frequency (daily) data on macroeconomic uncertainties and the partial cross-quantilogram approach, we examine the directional predictability of disentangled oil-price-shocks for the entire conditional distribution of uncertainties of five advanced economies (Canada, Euro Area, Japan, the United Kingdom, and the United States). Our results show that oil-demand, supply, and financial risk-related shocks can predict the future path of uncertainty; however, the predictive relationship is contingent on the initial level of macroeconomic uncertainty and the size of the shocks. Our results suggest that macroeconomic uncertainty is indeed predictable at high frequency, and that oil-price-shocks capture valuable predictive information regarding the future path of macroeconomic uncertainties.

Keywords: Oil shocks; uncertainty; partial cross-quantilograms; directional predictability; developed economies (search for similar items in EconPapers)
JEL-codes: C22 C32 Q41 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2020-04
New Economics Papers: this item is included in nep-ene, nep-ets and nep-rmg
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:202031

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