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Financial stress, economic policy uncertainty, and oil price uncertainty
Energy Economics ( IF 12.8 ) Pub Date : 2021-11-03 , DOI: 10.1016/j.eneco.2021.105686
George N. Apostolakis 1 , Christos Floros 2 , Konstantinos Gkillas 3 , Mark Wohar 4
Affiliation  

The role of non-financial sector market fluctuations such as the role of oil price uncertainty either on financial stability or on policy-related economic uncertainty has not been investigated extensively. This study examines the connectedness of financial stress and economic policy uncertainty with a non-financial market of Brent oil and its prices, by employing a Diebold and Yilmaz (2012, 2014) generalized framework and a TVP-VAR model specification. We use monthly series of 7 advanced countries, namely the US, UK, Canada, Japan, Germany, France, and Italy and 2 different indices for measuring financial stress (FSI) and economic policy uncertainty (EPU), over the period 2007–2020. Furthermore, the literature on oil price uncertainty and its effect on financial stress and on economic policy uncertainty is scarce. We additionally, examine the impact of oil price volatility on FSI and on EPU, by employing a structural VAR-GARCH-M model specification and IRFs analysis. Our results from the dynamic connectedness analysis indicate that during the COVID-19 pandemic, spillovers have increased substantially but not exceeded the Global Financial Crises 2007 levels. Finally, our estimation results from the IRFs analysis reveal that oil price uncertainty is associated with higher financial stress for some of the G7 countries while it is not related to economic policy uncertainty.



中文翻译:

金融压力、经济政策不确定性和油价不确定性

非金融部门市场波动的作用,例如石油价格不确定性对金融稳定或与政策相关的经济不确定性的作用尚未得到广泛研究。本研究采用 Diebold 和 Yilmaz (2012, 2014) 广义框架和 TVP-VAR 模型规范,研究了金融压力和经济政策不确定性与布伦特石油及其价格的非金融市场之间的关联性。我们使用 7 个发达国家(即美国、英国、加拿大、日本、德国、法国和意大利)的月度序列和 2 个不同的指数来衡量 2007-2020 年期间的金融压力 (FSI) 和经济政策不确定性 (EPU) . 此外,关于石油价格不确定性及其对金融压力和经济政策不确定性影响的文献很少。我们另外,通过采用结构性 VAR-GARCH-M 模型规范和 IRF 分析,检查石油价格波动对 FSI 和 EPU 的影响。我们的动态连通性分析结果表明,在 COVID-19 大流行期间,溢出效应大幅增加,但并未超过 2007 年全球金融危机的水平。最后,我们从 IRF 分析得出的估计结果表明,石油价格的不确定性与一些 G7 国家的较高财务压力有关,而与经济政策的不确定性无关。溢出效应大幅增加,但没有超过 2007 年全球金融危机的水平。最后,我们从 IRF 分析得出的估计结果表明,石油价格的不确定性与一些 G7 国家的较高财务压力有关,而与经济政策的不确定性无关。溢出效应大幅增加,但没有超过 2007 年全球金融危机的水平。最后,我们从 IRF 分析得出的估计结果表明,石油价格的不确定性与一些 G7 国家的较高财务压力有关,而与经济政策的不确定性无关。

更新日期:2021-11-10
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