Common and country-specific uncertainty fluctuations in oil-producing countries : Measures, macroeconomic effects and policy challenges

Refk Selmi (1) , Jamal Bouoiyour (2) , Shawkat Hammoudeh (3)

1 ESC PAU - Ecole Supérieure de Commerce, Pau Business School
2 CATT - Centre d'Analyse Théorique et de Traitement des données économiques
3 Bennett S. LeBow College of Business - Department of Economics and International Business

In the wake of recent political developments around the world, the prospects of future oil supplies have become doubtful and the uncertainty has come to play a non-negligible role in determining the dynamics of major macroeconomic variables. This study carries out a factor model with time-varying loadings to decompose the variance of a set of important macroeconomic and financial series for the top ten oil-producing countries into contributions from country-specific uncertainty and common uncertainty. The relative importance of the uncertainty estimates in explaining the volatility of production, investment, total exports, exchange rate and stock prices seems to differ over time, with evidence of alternating periods of high and low persistent uncertainties. The global uncertainty plays the primary role for output growth, investment, exports and stock prices in all countries. The globalization and trade openness contribute in amplifying the international transmission of volatility, explaining therefore the increasing importance of the global uncertainty factor.

Mots clés: Common uncertainty; country-specific uncertainty; top ten oil-producing countries; dynamic factor model

Domaines: Économie et finance quantitative [q-fin]; Economies et finances

Refk Selmi, Jamal Bouoiyour, Shawkat Hammoudeh. Common and country-specific uncertainty fluctuations in oil-producing countries : Measures, macroeconomic effects and policy challenges. Journal of Economic Integration, In press. ⟨hal-02929898⟩