Author
Kocaaslan, B., Soytas, U., Soytaş, Mehmet Ali
Publication Date
2020-02-01
Publication Place
-
Elsevier
Subject
Asymmetric effects, Unemployment, Nonlinear ARDL (NARDL), Oil prices, Oil price uncertainty, Interest rates
Type
Periodical
Language
English
Digital
Yes
Manuscript
No
Library
Özyeğin University
Library Asset ID
0140-9883
Record ID
44e6174a-2fea-4c4c-86ad-af9408526214
Library Location
Economics
Date
2020-02-01
Sample Text
In this study, we investigate the presence of asymmetric interactions between oil prices, oil price uncertainty, interest rates, and unemployment in a cointegration framework. Utilizing the nonlinear auto-regressive distributed lag (NARDL) approach, we show the asymmetric responses of unemployment to changes in oil prices, oil price uncertainty and interest rates in the long-run. More specifically, the results of our analyses suggest that an increase in oil price results in increased unemployment while there is no significant impact of reduced oil prices. On the one hand, reduced oil price uncertainty leads to a decrease in unemployment whereas an increase in oil price uncertainty does not have an impact. We also observe increased unemployment in response to a decrease in interest rates as the impact of increased interest rates is not significant. Last but not least, we find that option-implied oil price volatility, as a measure of oil price uncertainty, outperforms the conditional volatility of crude oil prices in predicting unemployment. This study provides valuable implications for policymakers to design sound economic policies.
DOI
10.1016/j.eneco.2019.104625
Cilt
86
