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Asymmetric transmission of oil supply news

Mario Forni et al.

Quantitative Economics2025https://doi.org/10.3982/qe2548article
AJG 4ABDC A*
Weight
0.48

Abstract

We provide new evidence on the asymmetries in the transmission of oil supply news shocks in the US using a nonlinear Proxy‐SVAR. A shock that increases oil prices has large and persistent effects on real activity and relatively small effects on prices. On the contrary, a shock that reduces oil prices has smaller real effects and large effects on prices. We rationalize these findings through the behavior of uncertainty: uncertainty increases independently of the sign of the shock, amplifying the contractionary real effects of a positive shock and dampening the expansionary real effects of a negative shock. The opposite holds for prices. We find little evidence of an asymmetric response of monetary policy.

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https://doi.org/https://doi.org/10.3982/qe2548

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@article{mario2025,
  title        = {{Asymmetric transmission of oil supply news}},
  author       = {Mario Forni et al.},
  journal      = {Quantitative Economics},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.3982/qe2548},
}

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Evidence weight

0.48

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.41 × 0.4 = 0.16
M · momentum0.63 × 0.15 = 0.09
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.