The aim of this article is to investigate the asymmetric effects of the oil price on economic policy uncertainty for the period from January 1997 to May 2021 using a non-linear autoregressive distributed lag approach. The results of the bounds test indicate that there is a long-run equilibrium relationship between the economic uncertainty index and oil price. Furthermore, we conclude that the long-run equilibrium relationship is a usual logical relationship and not a degraded relationship. The results of the asymmetric effects in the short and long term also showed that the positive and negative shocks to oil prices have an asymmetric effect on the EPU index. In addition, the negative shock may have a greater absolute effect in the long run. Our results are important to both investors interested in the oil market, as well as for policymakers.

中文翻译：

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油价冲击对经济不确定性的不对称影响：来自不对称 NARDL 模型的证据

本文的目的是使用非线性自回归分布滞后方法研究 1997 年 1 月至 2021 年 5 月期间油价对经济政策不确定性的不对称影响。边界检验结果表明，经济不确定性指数与油价之间存在长期均衡关系。此外，我们得出结论，长期均衡关系是一种通常的逻辑关系，而不是退化的关系。短期和长期不对称效应的结果也表明，油价的正面和负面冲击对EPU指数的影响是不对称的。此外，从长远来看，负面冲击可能具有更大的绝对影响。我们的结果对对石油市场感兴趣的投资者以及政策制定者都很重要。