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Jacques Minlend
''How does the economic policy uncertainty factor in the dynamics of oil price uncertainty?''
( 2023, Vol. 43 No.1 )
This paper investigates the endogenous relationship between economic policy uncertainty (EPU) and oil price uncertainty within a framework of a supply-demand shock identification model. Our empirical strategy relies on a structural vector autoregressive approach. Our major findings reveal a significant increase in oil price uncertainty from a positive EPU shock. We also demonstrate that a negative oil supply shock contributes to raising oil price uncertainty, whereas a positive demand shock causes oil price uncertainty to decline.
Keywords: Oil price uncertainty; Economic policy uncertainty, Structural VAR.
JEL: Q4 - Energy: General
E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General
Manuscript Received : Jul 24 2022 Manuscript Accepted : Mar 30 2023

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