Markov Switching Oil Price Uncertainty
研究美国经济是否对油价不确定性有负面反应，以及油价冲击是否对经济活动产生不对称影响，通过改进模型允许数据过程随样本期变化。
Abstract We investigate whether the United States economy responds negatively to oil price uncertainty and whether oil price shocks exert asymmetric effects on economic activity. In doing so, we relax the assumption in the existing literature that the data are governed by a single process, modifying the Elder and Serletis (2010) bivariate structural GARCH‐in‐Mean VAR to accommodate Markov regime switching in order to account for changing oil price dynamics over the sample period. We find evidence of asymmetries, against those macroeconomic theories that predict symmetries in the relationship between real aggregate economic activity and the real price of oil.