Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/80740
Authors: 
Jo, Soojin
Year of Publication: 
2012
Series/Report no.: 
Bank of Canada Working Paper 2012-40
Abstract: 
This paper investigates the effect of oil price uncertainty on real economic activity using a quarterly VAR with stochastic volatility in mean. Stochastic volatility allows oil price uncertainty to vary separately from changes in the level of oil prices, and thus the impact of oil price uncertainty can be examined in a more flexible yet tractable way. In addition, this paper substantially improves on the recovery of a historical uncertainty series by incorporating an additional uncertainty indicator, i.e., a realized volatility series from daily oil price data, into the estimation process. The estimation results show that an oil price uncertainty shock alone has negative effects on world industrial production.
Subjects: 
Business fluctuations and cycles
Econometric and statistical methods
JEL: 
E32
C32
Q43
Document Type: 
Working Paper

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