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dc.contributor.authorVan Robays, Ineen
dc.date.accessioned2012-09-26-
dc.date.accessioned2012-10-11T15:55:52Z-
dc.date.available2012-10-11T15:55:52Z-
dc.date.issued2012-
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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x3937en
dc.subject.jelE31en
dc.subject.jelE32en
dc.subject.jelQ41en
dc.subject.jelQ43en
dc.subject.ddc330en
dc.subject.keywordoil pricesen
dc.subject.keyworduncertaintyen
dc.subject.keywordprice elasticityen
dc.subject.keywordthreshold VARen
dc.subject.keywordsign restrictionsen
dc.subject.stwÖlpreisen
dc.subject.stwMineralölmarkten
dc.subject.stwSchocken
dc.subject.stwMakroökonomischer Einflussen
dc.subject.stwVolatilitäten
dc.subject.stwSchätzungen
dc.subject.stwWelten
dc.titleMacroeconomic uncertainty and the impact of oil shocks-
dc.typeWorking Paperen
dc.identifier.ppn726463027en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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