Dynamic Spillovers of Oil Price Shocks and Economic Policy Uncertainty

Antonakakis, Nikolaos ORCID: https://orcid.org/0000-0002-0904-3678 and Chatziantoniou, Ioannis and Filis, George (2014) Dynamic Spillovers of Oil Price Shocks and Economic Policy Uncertainty. Energy Economics, 44. pp. 433-447. ISSN 0140-9883

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This study examines the dynamic relationship between changes in oil prices and the economic policy uncertainty index for a sample of both net oil-exporting and net oil-importing countries over the period 1997:01-2013:06. To achieve that, an extension of the Diebold and Yilmaz (2009, 2012) dynamic spillover index based on structural decomposition is employed. The results reveal that economic policy uncertainty (oil price shocks) responds negatively to aggregate demand oil price shocks (economic policy uncertainty shocks). Furthermore, during the Great Recession of 2007-2009, total spillovers increase considerably, reaching unprecedented heights. Moreover, in net terms, economic policy uncertainty becomes the dominant transmitter of shocks between 1997 and 2009, while in the post-2009 period there is a significant role for supply-side and oil specific demand shocks, as net transmitters of spillover effects. These results are important for policy makers, as well as, investors interested in the oil market. (authors' abstract)

Item Type: Article
Additional Information: To see the final version of this paper please visit the publisher's website. Access to the published version may require a subscription. The original publication is available at www.elsevier.com.
Keywords: Economic Policy unvertainty / oil price shock / spillover index / structural vector autoregression / variance decomposition / impulse response function
Classification Codes: JEL C32, C51, E60, Q43, Q48
Divisions: Departments > Volkswirtschaft > Internationale Wirtschaft
Version of the Document: Submitted
Variance from Published Version: Minor
Depositing User: Nikolaos Antonakakis
Date Deposited: 22 May 2014 11:16
Last Modified: 07 Nov 2019 09:04
Related URLs:
URI: https://epub.wu.ac.at/id/eprint/4154

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