能源经济学研讨会 

【总第64期】

Exogenous Shocks and the Spillover Effects between the Macroeconomic Uncertainty and Oil Price

本次能源经济学研讨会邀请到清华经管经济系的博士生李蕾做学术演讲。
时间：12月17日，星期四，12:00—13:00
地点：中国人民大学明德主楼623会议室
报告摘要：
This paper evaluates the information spillover between macroeconomic uncertainty and the
oil price before and after the 2008 global financial crisis, and the effects of exogenous shocks on the pattern of information spillover. In particular, we investigate mean and volatility spillovers between macroeconomic uncertainty and the oil price with and without exogenous shocks by using a bivariate EGARCH model. There are two main findings in our paper. First, the evidence ensures the information transmission between macroeconomic uncertainty index and the oil price, and shows remarkable differences in transmission patterns before and after the crisis. Second, the results show that exogenous shocks can intensify information transmission between oil price and uncertainty index in terms of both the mean and volatility spillover effects. Moreover, exogenous shocks exhibit direct spillover effects on oil price.
作者简介： 
李蕾，清华经管经济系博士生，主要研究方向是发展经济学。博士阶段的主要研究国际贸易自由化对收入分配的影响。在论文发表上，目前有3篇SSCI、1篇EI和4篇CSSCI，另有6篇工作论文。3篇SSCI发表在Journal of Economic Perspectives、 Economics Letters、Energy Economics。4篇CSSCI分别发表在《经济研究》、《经济学季刊》、《数量经济技术经济研究》和《统计与决策》上。
能源经济学研讨会（Energy Economics Seminar）由中国人民大学经济学院能源经济系定期推出，旨在为研究中国能源经济问题的学者提供交流的平台。 

 联系人：宋枫（songfeng@ruc.edu.cn）  

中国人民大学 经济学院能源经济系