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Journal of Economic Integration 2020 December;35(4) :724-750.
Common and Country-Specific Uncertainty Fluctuations in Major Oil-Producing Countries: A Comparative Study

Refk Selmi1 Jamal Bouoiyour1,2 Shawkat Hammoudeh34

1,2ESC Pau Business School, France
Universite de Pau et des Pays de l’Adour, France
3,4Drexel University, USA
Institute of Business Research, University of Economics, Vietnam
Corresponding Author: Refk Selmi ,Email:
Copyright ©2020 Journal of Economic Integration
In the wake of recent political developments worldwide, future oil supply prospects have become doubtful and uncertainty plays a non-negligible role in determining the dynamics of major macroeconomic variables. This study constructs a factor model with time-varying loadings to decompose the variance of important macroeconomic and financial series for the top 10 oil-producing countries into the contributions from country-specific uncertainty and common uncertainty. The relative importance of the uncertainty estimates in explaining volatility in production, investment, total exports, the exchange rate, and stock prices seems to vary over time, with evidence of alternating periods of high and low persistent uncertainty. Global uncertainty plays a primary role output growth, investment, exports, and stock prices in all countries. Globalization and trade openness contribute to amplifying the international transmission of volatility, explaining the increasing importance of the global uncertainty factor.

JEL Classification
C15: Statistical Simulation Methods: General
C32: Time Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
E32: Business Fluctuations; Cycles
G11: Portfolio Choice; Investment Decisions
Keywords: Common uncertainty | country-specific uncertainty | top 10oil-producing countries | dynamic factor model
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