This paper studies the transmission of oil price uncertainty (OPU) shock to real economic activities by focusing on the role of financial condition. We find that financial stress is an important link in the propagation of OPU shock based on China’s macro- and firm-level data. We document significant decrease in real economic activities as oil price uncertainty increases by using SVAR, and further suggest that the contractionary effect of oil price uncertainty is more pronounced under high financial stress. Firm-level evidence consistently show...
