Uncertainty-dependent and sign-dependent effects of oil market shocks

This paper investigates the uncertainty-dependent and sign-dependent effects of oil market fundamental shocks, namely supply, aggregate demand oil-specific shocks. We do so by first proposing a novel uncertainty index that is measured stochastic volatility unpredictable component prices. then employ nonlinear model find all reactions production, real price oil, global economic activity to structural shocks are regime-dependent. Moreover, we extend accommodate positive negative examine possible asymmetric effects. In relation activity, supply regardless state market, but only when high.