The Effects of Oil Shocks on Macroeconomic Uncertainty: Evidence from a Large Panel Dataset of US States

Rangan Gupta and Xin Sheng ()
Additional contact information
Xin Sheng: Lord Ashcroft International Business School, Anglia Ruskin University, Chelmsford, CM1 1SQ, United Kingdom

No 202048, Working Papers from University of Pretoria, Department of Economics

Abstract: This paper investigates the effects of oil price shocks on macroeconomic uncertainty using a large panel dataset of 50 US states. We examine both linear and nonlinear impulse responses of uncertainty to oil shocks by utilising the local projection method. We show that uncertainty is affected by both supply- and demand-side oil shocks and the effects of oil shocks on uncertainty are contingent on the states of oil dependence. Our results have important policy implications.

Keywords: Oil shocks; macroeconomic uncertainty; local projections; impulse response functions; oil dependence (search for similar items in EconPapers)
JEL-codes: C32 Q41 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2020-05
References: Add references at CitEc
Citations: View citations in EconPapers (5)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
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:pre:wpaper:202048

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().