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dc.contributor.authorVan Robays, Ineen_US
dc.date.accessioned2012-09-26en_US
dc.date.accessioned2012-10-11T15:55:52Z-
dc.date.available2012-10-11T15:55:52Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/64852-
dc.description.abstractThis 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 production volatility, significantly increases the responsiveness of oil prices to oil shocks. This implies a lower price elasticity of oil demand and supply in the uncertain regime, or in other words, that both oil curves become steeper when uncertainty is high. The difference in oil demand elasticities is both statistically and economically meaningful. Accordingly, varying uncertainty about the macroeconomy can explain time variation in the oil price elasticity and hence in oil price volatility. Also the impact of oil shocks on economic activity appears to be significantly stronger in uncertain times.en_US
dc.language.isoengen_US
dc.publisherCESifo Münchenen_US
dc.relation.ispartofseriesCESifo Working Paper: Monetary Policy and International Finance 3937en_US
dc.subject.jelE31en_US
dc.subject.jelE32en_US
dc.subject.jelQ41en_US
dc.subject.jelQ43en_US
dc.subject.ddc330en_US
dc.subject.keywordoil pricesen_US
dc.subject.keyworduncertaintyen_US
dc.subject.keywordprice elasticityen_US
dc.subject.keywordthreshold VARen_US
dc.subject.keywordsign restrictionsen_US
dc.subject.stwÖlpreisen_US
dc.subject.stwMineralölmarkten_US
dc.subject.stwSchocken_US
dc.subject.stwMakroökonomischer Einflussen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwSchätzungen_US
dc.subject.stwWelten_US
dc.titleMacroeconomic uncertainty and the impact of oil shocksen_US
dc.typeWorking Paperen_US
dc.identifier.ppn726463027en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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