| Autor: |
Xin Sheng, Rangan Gupta, Qiang Ji |
| Jazyk: |
angličtina |
| Rok vydání: |
2023 |
| Předmět: |
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| Zdroj: |
Risks, Vol 11, Iss 11, p 186 (2023) |
| Druh dokumentu: |
article |
| ISSN: |
2227-9091 |
| DOI: |
10.3390/risks11110186 |
| Popis: |
We examine the impact of the global economic activity, oil supply, oil-specific consumption demand, and oil inventory demand shocks on the expected aggregate skewness of the United States (US) economy, obtained based on a data-rich environment involving 211 macroeconomic and financial variables in the quarterly period of 1975:Q1 to 2022:Q2. We find that positive oil supply and global economic activity shocks increase the expected macroeconomic skewness in a statistically significant way, with the effects being relatively more pronounced in the lower regime of the aggregate skewness factor, i.e., when the US is witnessing downside risks. Interestingly, oil-specific consumption demand and oil inventory demand shocks contain no predictive ability for the overall expected skewness. With skewness being a metric for policymakers to communicate their beliefs about the path of future risks, our results have important implications for policy decisions. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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