Abstract
We investigate whether the United States economy responds negatively to oil price uncertainty and whether oil price shocks exert asymmetric effects on economic activity. In doing so, we use monthly data and modify the (Elder and Serletis J Money Credit Bank 42, 1138–1159, 2010) bivariate structural GARCH-in-Mean VAR to accommodate the interaction between oil price uncertainty and the climate risk factors recently constructed by Faccini et al. (2021). We find evidence that oil price uncertainty has a negative and statistically significant effect on the growth rate only when it intereacts with the Faccini et al. (2021) international summits textual factor.
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Data will be supplied upon request.
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24 June 2023
Update on the year and volume number in the running head.
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Acknowledgements
We would like to thank the Editor, John Elder, and two anonymous referees for comments that greatly improved the paper. Corresponding author. Phone: (403) 220-4092; Fax: (403) 282-5262; E-mail: Serletis@ucalgary.ca; Web: http://econ.ucalgary.ca/profiles/162-33618
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Serletis, A., Xu, L. Oil price uncertainty and climate risks. J Econ Finan 47, 323–332 (2023). https://doi.org/10.1007/s12197-022-09611-w
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DOI: https://doi.org/10.1007/s12197-022-09611-w