The Response of Oil Shocks to Economic Policy Uncertainty: Evidence From a Cross-Quantilogram Approach

This paper employs a cross-quantilogram approach to investigate oil shocks’ response to economic policy uncertainty. The results show that economic policy uncertainty has a positive effect on oil shocks in the short term. Furthermore, the positive effect of economic policy uncertainty on oil shocks gradually diminishes in the medium to long term and eventually turns negative. Notably, the negative effect is most significant on risk shock.