The asymmetric impact of oil prices, interest rates and oil price uncertainty on unemployment in the US

Name: The asymmetric impact of oil prices, interest rates and oil price uncertainty on unemployment in the US
Author: Kocaaslan, B., Soytas, U., Soytaş, Mehmet Ali

İsim	The asymmetric impact of oil prices, interest rates and oil price uncertainty on unemployment in the US
Yazar	Kocaaslan, B., Soytas, U., Soytaş, Mehmet Ali
Basım Tarihi:	2020-02-01
Basım Yeri	- Elsevier
Konu	Asymmetric effects, Unemployment, Nonlinear ARDL (NARDL), Oil prices, Oil price uncertainty, Interest rates
Tür	Süreli Yayın
Dil	İngilizce
Dijital	Evet
Yazma	Hayır
Kütüphane:	Özyeğin Üniversitesi
Demirbaş Numarası	0140-9883
Kayıt Numarası	44e6174a-2fea-4c4c-86ad-af9408526214
Lokasyon	Economics
Tarih	2020-02-01
Örnek Metin	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

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The asymmetric impact of oil prices, interest rates and oil price uncertainty on unemployment in the US

Yazar Kocaaslan, B., Soytas, U., Soytaş, Mehmet Ali

Basım Tarihi 2020-02-01

Basım Yeri - Elsevier

Konu Asymmetric effects, Unemployment, Nonlinear ARDL (NARDL), Oil prices, Oil price uncertainty, Interest rates

Tür Süreli Yayın

Dil İngilizce

Dijital Evet

Yazma Hayır

Kütüphane Özyeğin Üniversitesi

Demirbaş Numarası 0140-9883

Kayıt Numarası 44e6174a-2fea-4c4c-86ad-af9408526214

Lokasyon Economics

Tarih 2020-02-01

Örnek Metin 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