The Changing Asymmetric Impact of Macroeconomic Risks on Oil Price Uncertainty

The purpose of this study is to uncover the impacts of macroeconomic risks on oil price uncertainty. We consider three sub-periods, the 2008 global financial crisis, post-global financial crisis, and COVID-19 crisis. A quantile regression model is employed to investigate the related impacts under high and low oil price uncertainty episodes. Furthermore, we extend the model to accommodate positive and negative macroeconomic shocks under different market conditions. We find that the effects of positive and negative changes in macroeconomic risks considerably vary during both crises. More specifically, when oil price uncertainty is high, a reduction in the strength of the US dollar leads to reduced oil price uncertainty in the global financial crisis while an increase in the US dollar value results in increased oil price uncertainty in the COVID-19 crisis. Similar results hold for the impact of stock market uncertainty. Last but not least, a reduction in exchange rate market uncertainty reduces uncertainty in the oil market during the high oil price uncertainty episodes in the COVID-19 crisis