Work

The Response of Oil Shocks to Economic Policy Uncertainty: Evidence From a Cross-Quantilogram Approach

Year: 2024

Type: article

Abstract: This paper employs a cross-quantilogram approach to investigate oil shocks’ response to economic policy uncertainty. The results show that economic policy uncertainty has a positive effect on oil shocks in the short term. Furthermore, the positive effect of economic policy uncertainty on oil shocks gradually diminishes in the medium to long term and eventually turns negative. Notably, the negative effect is most significant on risk shock.

Source: Energy RESEARCH LETTERS

DOI: 10.46557/001c.123843

Authors: Nuan Zhao, Pengchao He

Institutions: Nanjing University of Aeronautics and Astronautics, Nanjing University of Information Science and Technology

Language: English

Topic: Market Dynamics and Volatility

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

OpenAlex ID: W4404810723

FWCI: 1.446

Cites: 11

Cited by: 4

Related to: 10