Oil price uncertainty shocks and the gender gap in U.S. unemployment

Abstract

This study relates to a new literature which investigates the distributional effects of uncertainty shocks. In particular, we examine the effect of oil price uncertainty on unemployment rates of different age cohorts based on gender in the U.S. We find that oil price uncertainty shocks tend to increase the female unemployment rate, although the effect tends to be smaller in magnitude than for the male unemployment rate in each age cohort, except those over 55. The largest disparity between males and females occurs in the younger working age cohorts. Our results are robust to three different measures of oil price uncertainty from three different empirical models: an SVAR with multivariate GARCH, an SVAR with implied volatility, and an asymmetric Markov switching ARCH model. Our results are also robust to a structural VAR which separately identifies shocks to oil demand and oil supply.