How do energy market shocks affect economic activity in the US under changing financial conditions?
Küçük Resim Yok
Tarih
2022
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Springer International Publishing
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
Credit markets play a crucial role in the propagation of shocks through an economy. Both economic uncertainty and oil market shocks transmit through credit markets to various sectors of an economy. However, the transmission of the shocks depends on the state of an economy as crises periods behave quite differently from normal times. We use a nonlinear vector autoregressive (VAR) model to study the transmission of uncertainty and oil market shocks using monthly data over the 1986:M1–2021:M1 period. The nonlinear VAR model allows the transmission of uncertainty and oil market shocks to a change during financial distress periods. We find that economic uncertainty is closely related to financial conditions and transmission dynamic change during financial crises. Uncertainty shocks are recessionary with a stronger effect during financial distress. Oil supply shocks associated with increasing oil prices are also recessionary and stronger during financial distress while positive demand shocks are expansionary. We find strong asymmetry in responses of macroeconomic aggregates across financial regimes and signs of the shocks. © The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG 2022.
Açıklama
Anahtar Kelimeler
Economic Activity, Financial Markets, Oil Prices, Stochastic Volatility, Threshold VARs, Uncertainty
Kaynak
Applications in Energy Finance: The Energy Sector, Economic Activity, Financial Markets and the Environment
WoS Q Değeri
Scopus Q Değeri
N/A
Cilt
Sayı
Künye
Balcilar, M., Usman, O., & Roubaud, D. (2022). How do energy market shocks affect economic activity in the US under changing financial conditions?. In Applications in energy finance: The energy sector, economic activity, financial markets and the environment (pp. 85-114).
