E3 - Prices, Business Fluctuations, and Cycles
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The Effects of Oil Price Uncertainty on the Macroeconomy
This paper investigates the effect of oil price uncertainty on real economic activity using a quarterly VAR with stochastic volatility in mean. Stochastic volatility allows oil price uncertainty to vary separately from changes in the level of oil prices, and thus the impact of oil price uncertainty can be examined in a more flexible yet tractable way.