Discussion paper

DP18704 Asymmetric Transmission of Oil Supply News

We provide new evidence on the asymmetries in the transmission of oil supply news shocks using a nonlinear Proxy-SVAR. A shock that increases oil prices has large and persistent effects on real activity and relatively small effects on prices. On the contrary, a shock that reduces oil prices has smaller real effects and large effects on prices. We rationalize these findings through the behavior of uncertainty: uncertainty increases independently of the sign of the shock, amplifying the contractionary effects of a positive shock and dampening the expansionary effects of a negative shock. We find little evidence of an asymmetric response of monetary policy.


Forni, M, A Franconi, L Gambetti and L Sala (2023), ‘DP18704 Asymmetric Transmission of Oil Supply News‘, CEPR Discussion Paper No. 18704. CEPR Press, Paris & London. https://cepr.org/publications/dp18704