Oil Price UncertaintyJournal of Money, Credit and Banking - Tập 42 Số 6 - Trang 1137-1159 - 2010
John P. Elder, Apostolos Serletis
The theories of investment under uncertainty and real options predict that uncertainty about, for example, oil prices will tend to depress current investment. We reinvestigate the relationship between the price of oil and investment, focusing on the role of uncertainty about oil prices. We find that volatility in oil prices has had a negative and statistically significant effect on several...... hiện toàn bộ
The Effects of Oil Price Uncertainty on Global Real Economic ActivityJournal of Money, Credit and Banking - Tập 46 Số 6 - Trang 1113-1135 - 2014
Soojin Jo
This paper investigates the effect of oil price uncertainty on global real economic activity using a quarterly vector autoregressive model with stochastic volatility in mean. Stochastic volatility allows oil price uncertainty to vary separately from changes in the level of oil prices, and allows one to incorporate an extraneous indicator of oil price uncertainty such as realized volatility...... hiện toàn bộ
When Credit Bites BackJournal of Money, Credit and Banking - Tập 45 Số s2 - Trang 3-28 - 2013
Òscar Jordà, Moritz Schularick, Alan M. Taylor
Using data on 14 advanced countries between 1870 and 2008 we document two key facts of the modern business cycle: relative to typical recessions, financial crisis recessions are costlier, and more credit‐intensive expansions tend to be followed by deeper recessions (in financial crises or otherwise) and slower recoveries. We use local projection methods to condition on a broad set of macro...... hiện toàn bộ