Uncertainty and sign-dependent effects of oil market shocks

Crawford School of Public Policy | Centre for Applied Macroeconomic Analysis

Event details

Seminar

Date & time

Tuesday 14 May 2019
11.00am–12.00pm

Venue

Seminar Room 2, Crawford School of Public Policy, 132 Lennox Crossing, ANU

Speaker

Tatsuyoshi Okimoto, Crawford School of Public Policy, ANU

Contacts

Rossana Pinto
61 2 61258108

This seminar investigates the oil market reaction to its fundamental shocks in different regimes characterised by uncertainty in the market. The author first proposes a novel oil uncertainty index that is measured by the conditional volatility of the unpredictable component of oil prices. Then, the author employs a nonlinear model to show that both supply and oil-specific demand shocks have negligible impacts in low oil price uncertainty regime but sizable effects in high oil price uncertainty regime. He also finds that the effects of oil supply shocks on real economy are asymmetric, but oil specific demand shocks are not.

Tatsuyoshi Okimoto is an Associate Professor of Economics and Finance at the Crawford School of Public Policy. He received his PhD from the University of California, San Diego in 2005. He worked for Hitotsubashi University and Yokohama National University before joining the Crawford School of Public Policy in 2014. His current research has focused on Financial Econometrics, Empirical Finance, and Applied Macroeconomics. He has published a number of articles in the leading journals in economics and finance such as Journal of Financial and Quantitative Analysis, Journal of Banking and Finance, and Journal of Money Credit and Banking. He has been awarded the 1st GPIF Finance Awards (2017), the 2015 Junko Maru Prize and 2014 Securities Analysts Journal Prize.

The CAMA Macroeconomics Brown Bag Seminars offer CAMA speakers, in particular PhD students, an opportunity to present their work in progress in front of their peers, and reputable visitors to showcase their work.

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