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How does economic policy uncertainty react to oil price shocks? A multi-scale perspective

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  • Xiuwen Chen
  • Xiaolei Sun
  • Jianping Li

Abstract

This paper provides evidence for the impact of oil price shocks on economic policy uncertainty (EPU) from a multi-scale perspective using discrete wavelet transform and VAR model. Results indicate that oil price shocks impose a positive effect on EPU at an original level while effects of oil price shocks on EPU are time-varying over different time-scales. Particularly, oil price shocks lead to a positive change in the trend of EPU in the short- and long-term. Whereas, in the medium term, the negative effect of oil price shocks on EPU is identified.

Suggested Citation

  • Xiuwen Chen & Xiaolei Sun & Jianping Li, 2020. "How does economic policy uncertainty react to oil price shocks? A multi-scale perspective," Applied Economics Letters, Taylor & Francis Journals, vol. 27(3), pages 188-193, February.
    • Handle: RePEc:taf:apeclt:v:27:y:2020:i:3:p:188-193
    DOI: 10.1080/13504851.2019.1610704
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