Oil Price Shocks and Uncertainty: How stable is their relationship over time?

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Degiannakis, S.; Filis, G.; Panagiotakopoulou, S.;

This paper investigates the time-varying relationship between economic/financial uncertainty and oil price shocks in the US. A structural VAR (SVAR) model and a time-varying parameter VAR (TVP-VAR) model are estimated, using six indicators that reflect economic and fina... View more
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