oil price volatility on each sector in Japan, the world's third-largest crude oil consumer. In order to do so, we apply a …, which led to the shutdown of nuclear power plants in Japan, because of greater reliance on oil imports, the sensitivity of … most sectors to oil price volatility declined. …

volatility. We extend a reduced form Structural Break Threshold Vector Autoregressive (SBT-VAR) model to a structural SBT … geopolitical risk shock, the other with a simultaneous shale production shock and a geopolitical risk shock. The volatility … volatility response of oil prices to a geopolitical risk shock is higher, but the response is less correlated with the …

investigate how oil price volatility behaves when the index unexpectedly changes. I find that unexpected increases in the … newspaper index are strongly associated with higher levels of oil price volatility, both realized and implied. In some cases …, interest levels and price volatility appear to be driven by the OPEC event itself, such as the Iraq invasion of Kuwait. In …

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 …

measure of oil price uncertainty, namely an option-implied volatility, and a measure of macroeconomic uncertainty. Positive …