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Oil Price Shocks and Uncertainty: How stable is their relationship over time?

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Figure

Table 1.  Descriptive statistics of the series. The period spans from January 1994 to March 2015
Figure 2. The US uncertainty measures and oil price volatility from January 1994 to March 2015
Figure 3. Accumulated impulse responses of the uncertainty indices to oil price shocks
Figure 4. Impulse responses of the uncertainty indices to oil price shocks for 0, 1 and 3 months ahead, based on the TVP-VAR
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