Oil and Macroeconomic Uncertainty

Bastianin, Andrea; Manera, Matteo

Oil and Macroeconomic Uncertainty

Review of Environment, Energy and Economics (Re3), June 2015

9 Pages Posted: 23 Jul 2015

Andrea Bastianin

Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS); Università degli Studi di Milano-Bicocca - Center for European Studies (CefES)

Matteo Manera

University of Milan-Bicocca, Italy - Department of Economics, Management and Statistics (DEMS); Fondazione Eni Enrico Mattei (FEEM), Milan, Italy

Date Written: June 25, 2015

Abstract

In this article we discuss the concepts of macroeconomic uncertainty, oil price uncertainty and oil price shocks. Given the relevance of oil and macroeconomic uncertainty in both academic research and the political sphere, we illustrate how economic uncertainty can be operationally defined and empirically measured. After surveying some common proxies of macroeconomic uncertainty, we describe our proposed measure of oil price uncertainty, and we illustrate the contribution of its underlying components, namely uncertainties related to oil consumption and production, economic activity and oil inventories.

Keywords: Macroeconomic Uncertainty, Oil Price Uncertainty, Oil Price Shocks, Oil Price

JEL Classification: C32, C58, E44, Q41, Q43

Suggested Citation: Suggested Citation

Bastianin, Andrea and Manera, Matteo, Oil and Macroeconomic Uncertainty (June 25, 2015). Review of Environment, Energy and Economics (Re3), June 2015. Available at SSRN: https://ssrn.com/abstract=2634326