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2021
- handle: 10670/1.hmrfko
- hal: hal-03284089
- doi: 10.1111/boer.12252
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info:eu-repo/semantics/altIdentifier/doi/10.1111/boer.12252
info:eu-repo/semantics/OpenAccess
Mots-clés
Oil price uncertainty Real Uncertainty Impulse response Outliers Factor model C - Mathematical and Quantitative Methods/C.C3 - Multiple or Simultaneous Equation Models • Multiple Variables/C.C3.C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space Models C - Mathematical and Quantitative Methods/C.C3 - Multiple or Simultaneous Equation Models • Multiple Variables/C.C3.C38 - Classification Methods • Cluster Analysis • Principal Components • Factor Models E - Macroeconomics and Monetary Economics/E.E3 - Prices, Business Fluctuations, and Cycles/E.E3.E32 - Business Fluctuations • Cycles G - Financial Economics/G.G1 - General Financial Markets/G.G1.G10 - GeneralCiter ce document
Amélie Charles et al., « Oil Price Shocks, Real Economic Activity and Uncertainty », HAL-SHS : économie et finance, ID : 10.1111/boer.12252
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Résumé
This paper develops a structural factor vector autoregressive (SFVAR) model to study the effect of oil price shock on economic activity. The model allows both types of uncertainty (real economic activity and oil price) to directly affect oil prices and economic activity. More importantly, the factor variable, which is akin to the macroeconomic uncertainty measure of Henzel and Rengel (2017), captures the significant indirect spillover effects of both supplyrelated (oil prices) and demand-related (business cycle) shocks on oil prices and economic activity. By incorporating the indirect effect of this macroeconomic uncertainty, the response of economic activity to oil price shocks is amplified. In some countries the real effect is prolonged. Results for net oil exporting (importing) countries show that an oil price hike has an appreciably positive (negative) effect on economic activity. The factor dynamics of all countries, except for France, are highly correlated with each other, while they are all moderately correlated with some commonly used measures of macroeconomic uncertainty.