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Oil price uncertainty and the business cycle : accounting for the influences of global supply and demand within a VAR GARCH-in-mean framework

Thiem, Christopher - 2017

volatility as well as the U.S. economy. We find that - even after accounting for these factors - oil price uncertainty still has … confirms these results. Finally, significant spillover effects in the GARCH model suggest that oil price volatility is a gauge …Dieser Beitrag untersucht den Einfluss von Ölpreisunsicherheit auf die Wirtschaftsaktivität der USA mit Hilfe eines VAR …

Persistent link: https://www.econbiz.de/10011608019

The effects of oil price uncertainty on economic activities in South Africa

Chiweza, Junior T.; Aye, Goodness C. - In: Cogent economics & finance 6 (2018) 1, pp. 1-17

Autoregressive (SVAR) methodology is applied incorporating realized volatility as an indicator of oil price uncertainty to …

Persistent link: https://www.econbiz.de/10012023148

Dimensions of macroeconomic uncertainty : a common factor analysis

Henzel, Steffen; Rengel, Malte - 2013

In the current literature uncertainty about the future course of the economy is identified as a possible driver of business cycle fluctuations. In fact, uncertainty surrounds the movements of all economic variables which gives rise to a monitoring problem. We identify the different dimensions of...

Persistent link: https://www.econbiz.de/10010188870

Dimensions of macroeconomic uncertainty : a common factor analysis

Henzel, Steffen; Rengel, Malte - 2014

Uncertainty about the future course of the economy is a possible driver of aggregate fluctuations. To identify the different dimensions of uncertainty in the macroeconomy we construct a large dataset covering all types of economic uncertainty. We then identify two fundamental factors which...

Persistent link: https://www.econbiz.de/10010412767

Macroeconomic Uncertainty and the Impact of Oil Shocks

Van Robays, Ine - 2014

production volatility, significantly increases the responsiveness of oil prices to oil shocks. This implies a lower price … volatility. Also the impact of oil shocks on economic activity appears to be significantly stronger in uncertain times …

Persistent link: https://www.econbiz.de/10013065379

Macroeconomic Uncertainty and the Impact of Oil Shocks

Van Robays, Ine - 2014

Persistent link: https://www.econbiz.de/10013065408

Macroeconomic Uncertainty and the Impact of Oil Shocks

Van Robays, Ine - 2014

Persistent link: https://www.econbiz.de/10013065487

Markov Switching Oil Price Uncertainty

Serletis, Apostolos - 2019

We investigate whether the United States economy responds negatively to oil price uncertainty and whether oil price shocks exert asymmetric effects on economic activity. In doing so, we relax the assumption in the existing literature that the data are governed by a single process, modifying the...

Persistent link: https://www.econbiz.de/10012896506

The effects of oil price uncertainty on the macroeconomy

Jo, Soojin - 2012

stochastic volatility in mean. Stochastic volatility allows oil price uncertainty to vary separately from changes in the level of … uncertainty indicator, i.e., a realized volatility series from daily oil price data, into the estimation process. The estimation …

Persistent link: https://www.econbiz.de/10009728133

Energy business cycles

Meenagh, David; Minford, Patrick; Oyekola, Olayinka - 2015

We find that, when estimated, a two sector computable dynamic stochastic general equilibrium open economy model of the U.S. that formally admits energy into the production process can generate plausible parameter values that can be applied to deal with a broad range of economic issues. As a...

Persistent link: https://www.econbiz.de/10011471623