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How does the economic policy uncertainty factor in the dynamics of oil price uncertainty?

Author

Listed:
  • Jacques Minlend

    (University of Rennes 1)

Abstract

This paper investigates the endogenous relationship between economic policy uncertainty (EPU) and oil price uncertainty within a framework of a supply-demand shock identification model. Our empirical strategy relies on a structural vector autoregressive approach. Our major findings reveal a significant increase in oil price uncertainty from a positive EPU shock. We also demonstrate that a negative oil supply shock contributes to raising oil price uncertainty, whereas a positive demand shock causes oil price uncertainty to decline.

Suggested Citation

  • Jacques Minlend, 2023. "How does the economic policy uncertainty factor in the dynamics of oil price uncertainty?," Economics Bulletin, AccessEcon, vol. 43(1), pages 462-470.
    • Handle: RePEc:ebl:ecbull:eb-22-00562
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    File URL: http://www.accessecon.com/Pubs/EB/2023/Volume43/EB-23-V43-I1-P37.pdf
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    More about this item

    Keywords

    Oil price uncertainty; Economic policy uncertainty; Structural VAR.;
    All these keywords.

    JEL classification:

    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
    • E6 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook

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