This paper evaluates whether macroeconomic uncertainty changes the impact of oil shocks on the oil price. Using a … structural threshold VAR model, we endogenously identify different regimes of uncertainty in which we estimate the effects of oil … demand and supply shocks. The results show that higher macroeconomic uncertainty, as measured by higher world industrial …

This paper evaluates whether macroeconomic uncertainty changes the impact of oil shocks on the oil price. Using a … structural threshold VAR model, we endogenously identify different regimes of uncertainty in which we estimate the effects of oil … demand and supply shocks. The results show that higher macroeconomic uncertainty, as measured by higher world industrial …

findings are robust to the inclusion of the term-spread, uncertainty, and oil prices. Lastly, there is no evidence of …