Oil prices and economic policy uncertainty: Evidence from a nonparametric panel data model
By Abebe Hailemariam, Russell Smyth *, Xibin Zhang. Energy Economics, 2019
202 citations recorded by the source corpus.
We examine the relationship between oil prices and economic policy uncertainty in G7 countries. To do so, we employ a nonparametric panel data technique that allows the trend and coefficient functions to evolve as unknown time-varying functional forms. We also estimate country-specific and common trend functions allowing them to evolve over time. Using monthly data from G7 countries over the period 1997:01–2018:06, we find that the effect of oil prices on economic policy uncertainty is time-varying. Our results show that the estimated time-varying coefficient function of the oil price was negative in years in which increases in oil prices were driven by a surge in global aggregate demand. Further, our nonparametric local linear estimates show that the country-specific and common trend functions are increasing over time. Our findings are robust to endogeneity and alternative specifications.
Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment
View Paper: https://www.semanticscholar.org/paper/d51c2d5d6d79de68e46c5427099b0895989c948d
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Citations in the corpus
- Uncertainty Due to Infectious Diseases and Energy Market Volatility (2020, background): “ty is due to economic policy and financial market uncertainty (see, Aloui et al., 2016; Baker et al., 2016; Hailemariam et al., 2019; Liang et al., 2019; Mei et al., 2019; Wei et al., 2017; Wen et al., 2019).”
- Coronavirus and Oil Price Crash (2020, unknown): “Hailemariam et al. (2019) extend the analysis at the level of G7 countries using monthly data from 1997 to 2018.”