Asymmetric Transmission of Oil Supply News

• Authors: Alessandro Franconi, Mario Forni, Luca Sala and Luca Gambetti.
• Quantitative Economics, Vol. 3 , No. 16 , 947-979, July 2025.

We provide new evidence on the asymmetries in the transmission of oil supply news shocks in the US 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 real effects of a positive shock and dampening the expansionary real effects of a negative shock. The opposite holds for prices. We find little evidence of an asymmetric response of monetary policy.