Macroeconomic Uncertainty and Oil Price Volatility

Oxford Bulletin of Economics and Statistics - Tập 78 Số 5 - Trang 671-693 - 2016
Ine Van Robays1
1European Central Bank Sonnemanstrasse 20 60314 Frankfurt am Main Germany

Tóm tắt

AbstractThis paper shows that higher macroeconomic uncertainty causes higher oil price volatility. Regimes of low and high uncertainty are identified in a threshold VAR model in which the effects of structural oil demand and supply shocks are estimated. The results show that higher macroeconomic uncertainty, as measured by global industrial production volatility, significantly increases the sensitivity of oil prices to shocks in oil demand and supply. This occurs as uncertainty lowers the price elasticity of oil demand and supply. The difference in the estimated oil price elasticities is economically meaningful as the price impact of a similar change in oil production might double when it hits the economy in uncertain times. As such, varying uncertainty can explain why oil price volatility is typically higher during periods such as financial crises and recessions, and why oil price volatility changes over time more generally.

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Oxford Bulletin of Economics and Statistics

Tập 78 Số 5

671-693

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