International Spillovers of Structural Oil Shocks under Financial and Geopolitical Uncertainty

초록

This study examines the global macroeconomic effects of oil shocks arising from different types of uncertainty. Extending Kilian (2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market." American Economic Review 99:1053-1069. https://doi.org/10.1257/aer.99.3.1053), we incorporate financial uncertainty (VIX) and geopolitical risk (GPR) in addition to traditional oil supply and demand shocks, and reinterpret the residual oil-specific demand shock as a speculative shock, following Cross, Nguyen, and Tran (2022. "The Role of Precautionary and Speculative Demand in the Global Market for Crude Oil." Journal of Applied Econometrics 37:882-895. https://doi.org/10.1002/jae.v37.5). The shocks are subsequently embedded in a Global VAR (GVAR) framework to evaluate their international transmission. The results reveal considerable heterogeneity: financial and geopolitical uncertainty shocks are generally associated with weaker real GDP, particularly in advanced economies, while their effects on inflation are muted or region-specific. Speculative shocks produce more varied outcomes, with modest output declines and mild cost-push pressures in advanced economies, but neutral or slightly expansionary responses with limited price effects in some emerging markets. In contrast, demand-driven oil price increases are typically procyclical, while adverse supply shocks are linked to output losses and stronger inflationary pressures, underscoring the asymmetry in transmission channels.

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