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

Rangan Gupta () and Xin Sheng ()
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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
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