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The macroeconomic effects of oil price uncertainty

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  • Abiad, Abdul
  • Qureshi, Irfan A.

Abstract

We study the impact of oil price uncertainty (OPU) on macroeconomic activity. We construct a new measure of OPU by extracting information on oil markets from 50 newspapers around the world using textual analysis techniques. Our index spikes around important historical events, such as the oil price shock of the 1970s and the supply glut of the 1980s. The effects of OPU on macroeconomic activity are captured using Bayesian vector autoregressive techniques. OPU is an important source of macroeconomic fluctuations in the US, with industrial production displaying a maximum estimated drop of 0.34% almost 10 months after impact. These negative effects are sharpened when monetary policy is constrained by the Zero-Lower Bound. OPU exerts an economically meaningful impact on global economic conditions and affects economic activity in other industrialized countries.

Suggested Citation

  • Abiad, Abdul & Qureshi, Irfan A., 2023. "The macroeconomic effects of oil price uncertainty," Energy Economics, Elsevier, vol. 125(C).
    • Handle: RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003377
    DOI: 10.1016/j.eneco.2023.106839
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    Keywords

    Oil price uncertainty; Textual analysis; Business cycle fluctuations;
    All these keywords.

    JEL classification:

    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • O51 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - U.S.; Canada
    • O52 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Europe
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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