We estimate a production‐based general equilibrium model featuring demand‐ and supply‐side uncertainty and an endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and business cycle fluctuations. Both demand‐ and...

Oil is a crucial economic input and Pakistan's growth, production levels, and price levels are affected significantly by oil price volatility. This paper captures the impact of oil price shocks on Pakistan's economy by considering variables such as gross domestic product, the wholesale price...

This paper evaluates alternative indicators of global economic activity and other market fundamentals in terms of their usefulness for forecasting real oil prices and global petroleum consumption. We find that world industrial production is one of the most useful indicators that has been...

This paper shows that oil shocks primarily impact economic growth through the conditional variance of growth. Our comparison of models focuses on density forecasts. Over a range of dynamic models, oil shock measures and data we fi nd a robust link between oil shocks and the volatility of...

This paper studies the role of global and regional variations in economic activity and policy in developed world in driving portfolio capital flows (PCF) to emerging markets (EMs) in a Factor Augmented Vector Autoregressive (FAVAR) framework. Results suggest that PCFs to EMs depend mainly on...

I empirically investigate the economic effects of uncertainty about the performance of financial firms. More specifically, I focus on the simple standard deviation of stock market returns across financial firms at every quarter, referring to this measure as financial volatility. First, I show...

We investigate an impact of oil-price shocks on GDP and exchange rate dynamics in resource-heterogeneous economies. We employ a Markov regime-switching version of a vector autoregressive (VAR) model to allow for regime shifts, non-linear effects and timevarying parameters of the VAR process....

The recent plunge in oil prices has brought into question the generally accepted view that lower oil prices are good for the US and the global economy. In this paper, using a quarterly multi-country econometric model, we first show that a fall in oil prices tends relatively quickly to lower...

Economic policy uncertainty (EPU) has important implications for crude oil market. To explore the implications, this paper investigates the impact of EPU on the crude oil return volatility and which EPU index has the most forecasting power in crude oil market. To this end, we employ the...

This paper investigates the link between oil price uncertainty shocks and key macroeconomic indicators of a net oil importing country, South Africa. Monthly data covering the period 1990:01 to 2015:12 is used. The Structural Vector Autoregressive (SVAR) methodology is applied incorporating...