How does economic policy uncertainty react to oil price shocks? A multi-scale perspective
Abstract
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-...
Paper Details
Title
How does economic policy uncertainty react to oil price shocks? A multi-scale perspective
Published Date
Apr 29, 2019
Journal
Volume
27
Issue
3
Pages
188 - 193
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