Projects per year
Abstract
We examine the relationship between oil prices and economic policy uncertainty in G7 countries. To do so, we employ a nonparametric panel data technique that allows the trend and coefficient functions to evolve as unknown time-varying functional forms. We also estimate country-specific and common trend functions allowing them to evolve over time. Using monthly data from G7 countries over the period 1997:01–2018:06, we find that the effect of oil prices on economic policy uncertainty is time-varying. Our results show that the estimated time-varying coefficient function of the oil price was negative in years in which increases in oil prices were driven by a surge in global aggregate demand. Further, our nonparametric local linear estimates show that the country-specific and common trend functions are increasing over time. Our findings are robust to endogeneity and alternative specifications.
Original language | English |
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Pages (from-to) | 40-51 |
Number of pages | 12 |
Journal | Energy Economics |
Volume | 83 |
DOIs | |
Publication status | Published - Sept 2019 |
Keywords
- Economic policy uncertainty
- Nonparametric panel data
- Oil prices
- Time-varying coefficient function
Projects
- 1 Finished
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Trending Time Series Models with Non- and Semi-Parametric Methods
Gao, J. (Primary Chief Investigator (PCI)), Zhang, X. (Chief Investigator (CI)) & Tjostheim, D. (Partner Investigator (PI))
Australian Research Council (ARC), Monash University
3/01/13 → 21/03/16
Project: Research