Asymmetric transmission of oil supply news

• 成果类型: Article
• 署名作者: Forni, Mario; Franconi, Alessandro; Gambetti, Luca; Sala, Luca
• 署名单位: Universita di Modena e Reggio Emilia; University of Pavia; Autonomous University of Barcelona; University of Turin; Bocconi University; Bocconi University
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE2548
• 发表日期: 2025
• 页码: 947-979
• 关键词: Oil supply news; nonlinear proxy-SVAR; asymmetry; C32; E31; E32; Q43

摘要

We provide new evidence on the asymmetries in the transmission of oil supply news shocks in the US using a nonlinear Proxy-SVAR. A shock that increases oil prices has large and persistent effects on real activity and relatively small effects on prices. On the contrary, a shock that reduces oil prices has smaller real effects and large effects on prices. We rationalize these findings through the behavior of uncertainty: uncertainty increases independently of the sign of the shock, amplifying the contractionary real effects of a positive shock and dampening the expansionary real effects of a negative shock. The opposite holds for prices. We find little evidence of an asymmetric response of monetary policy.