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THE ASYMMETRIC EFFECTS OF OIL PRICE SHOCKS

机译：油价震荡的非对称效应

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摘要

In this paper we investigate the effects of oil price uncertainty and its asymmetry on real economic activity in the United States, in the context of a bivariate vector autoregression with GARCH-in-mean errors. The model allows for the possibilities of spillovers and asymmetries in the variance-covariance structure for real output growth and the change in the real price of oil. Our measure of oil price uncertainty is the conditional variance of the oil price-change forecast error. We isolate the effects of volatility in the change in the price of oil and its asymmetry on output growth and employ simulation methods to calculate generalized impulse response functions and volatility impulse response functions to trace the effects of independent shocks on the conditional means and the conditional variances, respectively, of the variables. We find that oil price uncertainty has a negative effect on output, and that shocks to the price of oil and its uncertainty have asymmetric effects on output.
机译：在本文中，我们研究了具有GARCH-mean误差的双变量矢量自回归的情况下，油价不确定性及其不对称性对美国实际经济活动的影响。该模型考虑了方差-协方差结构中实际产出增长和石油实际价格变化的溢出和不对称的可能性。我们对石油价格不确定性的度量是石油价格变化预测误差的条件方差。我们将油价变化中的波动率及其不对称性对产出增长的影响进行隔离，并采用仿真方法来计算广义冲激响应函数和波动率冲激响应函数，以追踪独立冲击对条件均值和条件方差的影响分别为。我们发现，石油价格的不确定性对产出有负面影响，对石油价格的冲击及其不确定性对产出有不对称影响。

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