Macroeconomic Uncertainty and Oil Price Volatility
研究发现宏观经济不确定性升高会加剧油价波动，通过阈值VAR模型识别高低不确定性状态，并估计结构性石油供需冲击的影响，解释了金融危机和衰退期间油价波动加剧的原因。
Abstract This paper shows that higher macroeconomic uncertainty causes higher oil price volatility. Regimes of low and high uncertainty are identified in a threshold VAR model in which the effects of structural oil demand and supply shocks are estimated. The results show that higher macroeconomic uncertainty, as measured by global industrial production volatility, significantly increases the sensitivity of oil prices to shocks in oil demand and supply. This occurs as uncertainty lowers the price elasticity of oil demand and supply. The difference in the estimated oil price elasticities is economically meaningful as the price impact of a similar change in oil production might double when it hits the economy in uncertain times. As such, varying uncertainty can explain why oil price volatility is typically higher during periods such as financial crises and recessions, and why oil price volatility changes over time more generally.