The macroeconomic impact of oil earnings uncertainty: New evidence from analyst forecasts

摘要

We develop measures of oil earnings uncertainty (OEU) using analyst forecasts drawn from a large firm-level dataset. OEU is related to future economic downturns, so some OEU measures may serve to forecast future downturns. An increase in OEU also has adverse effects on the US oil sector. The results are robust to conditioning on aggregate uncertainty. At the same time, OEU is related to increases in stock prices - unlike aggregate uncertainty, which has the opposite effect. OEU is thus an independent influence on both the oil industry and on economic aggregates. (c) 2020 Elsevier B.V. All rights reserved.