TY - JOUR
T1 - How does economic policy uncertainty react to oil price shocks? A multi-scale perspective
AU - Chen, Xiuwen
AU - Sun, Xiaolei
AU - Li, Jianping
N1 - Publisher Copyright:
© 2019, © 2019 Informa UK Limited, trading as Taylor & Francis Group.
PY - 2020/2/6
Y1 - 2020/2/6
N2 - This paper provides evidence for the impact of oil price shocks on economic policy uncertainty (EPU) from a multi-scale perspective using discrete wavelet transform and VAR model. Results indicate that oil price shocks impose a positive effect on EPU at an original level while effects of oil price shocks on EPU are time-varying over different time-scales. Particularly, oil price shocks lead to a positive change in the trend of EPU in the short- and long-term. Whereas, in the medium term, the negative effect of oil price shocks on EPU is identified.
AB - This paper provides evidence for the impact of oil price shocks on economic policy uncertainty (EPU) from a multi-scale perspective using discrete wavelet transform and VAR model. Results indicate that oil price shocks impose a positive effect on EPU at an original level while effects of oil price shocks on EPU are time-varying over different time-scales. Particularly, oil price shocks lead to a positive change in the trend of EPU in the short- and long-term. Whereas, in the medium term, the negative effect of oil price shocks on EPU is identified.
KW - economic policy uncertainty
KW - impulse response function
KW - Oil price shocks
KW - wavelet transform
UR - https://www.scopus.com/pages/publications/85065180962
U2 - 10.1080/13504851.2019.1610704
DO - 10.1080/13504851.2019.1610704
M3 - 文章
AN - SCOPUS:85065180962
SN - 1350-4851
VL - 27
SP - 188
EP - 193
JO - Applied Economics Letters
JF - Applied Economics Letters
IS - 3
ER -