TY - JOUR
T1 - Dynamic spillovers of oil price shocks and economic policy uncertainty
AU - Antonakakis, Nikolaos
AU - Chatziantoniou, Ioannis
AU - Filis, George
N1 - NOTICE: this is the author’s version of a work that was accepted for publication in Energy Economics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Energy Economics, 44, (2014), DOI: 10.1016/j.eneco.2014.05.007
PY - 2014/5/1
Y1 - 2014/5/1
N2 - 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 [16,17] 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 between1997 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.
AB - 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 [16,17] 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 between1997 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.
KW - Policy uncertainty
KW - Oil price shock
KW - Spillover index
KW - Structural Vector Autoregression
KW - Variance Decomposition
KW - Impulse Response Function
U2 - 10.1016/j.eneco.2014.05.007
DO - 10.1016/j.eneco.2014.05.007
M3 - Article
SN - 0140-9883
VL - 44
SP - 433
EP - 447
JO - Energy Economics
JF - Energy Economics
ER -