You are here

Oil Price Shocks and Macroeconomic Activities in Asean-5 Countries: A Panel VAR Approach

Journal Name:

Publication Year:

DOI: 
DOI: 10.17015/ejbe.2015.016.06
Abstract (2. Language): 
The paper investigates the asymmetric effects of oil price shocks on real economic activities in ASEAN-5 from 1991 to 2014 using an unrestricted panel Vector Auto Regressive (VAR) method. Results from the impulse response function (IRFs) show evidence of an asymmetric relationship between oil prices and economic activities. Specifically, positive oil price shock measures negatively affect output growth both in the short term and in the long term. For oil price decrease specifications, real output responds negatively in the short term before recovering to its pre-shock level in the long term. The variance decomposition analysis (VDCs) also exhibit differences between the effects of positive and negative oil price shocks on economic activities, supporting the evidence of asymmetric relationship obtain in the IRFs simulations.
101
120

JEL Codes:

REFERENCES

References: 

Arellano, M., & Bover, O. (1995). Another Look at the Instrumental Variable Estimation of
Error-Components Models. Journal of Econometrics, 68(1), 29-52.
http://dx.doi.org/10.1016/0304-4076(94)01642-D
Basnet, H. C., & Upadhyaya, K. P. (2015). Impact of Oil Price Shocks on Output, Inflation and
the Real Exchange Rate: Evidence from Selected ASEAN Countries. Applied Economics,
47(29), 3078-3091. http://dx.doi.org/10.1080/00036846.2015.1011322
Berument, M. H., Ceylan, N. B., & Dogan, N. (2010). The Impact of Oil Price Shocks on the
Economic Growth of Selected Mena1 Countries. The Energy Journal, 31, 149-176.
http://dx.doi.org/10.5547/issn0195-6574-ej-vol31-no1-7
Oil Price Shocks and Macroeconomic Activities in Asean-5 Countries: A Panel VAR Approach
EJBE 2015, 8 (16) Page |119
Breitung, J. (1999). The local power of some unit root tests for panel data (No. 1999, 69).
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of
Economic Processes.
Burbidge, J., & Harrison, A. (1984). Testing for the Effects of Oil-Price Rises Using Vector
Autoregressions. International Economic Review, 25, 459-484.
http://dx.doi.org/10.2307/2526209
Cavalcanti, T., & J. T. Jalles (2013). Macroeconomic Effects of Oil Price Shocks in Brazil and in
the United States. Applied Energy, 104, 475-486.
http://dx.doi.org/10.1016/j.apenergy.2012.10.039
Cunado, J., & Perez De Gracia, F. (2005). Oil Prices, Economic Activity and Inflation: Evidence
for Some Asian Countries. The Quarterly Review of Economics and Finance, 45, 65-83.
http://dx.doi.org/10.1016/j.qref.2004.02.003
Dornbusch, R., Fischer, S. & Startz, R. (2001). Macroeconomics. New York, Mcgraw Hill.
Ekşi, İ. H., Izgı, B. B., & Şentürk, M. (2011). Reconsidering the Relationship between Oil Prices
and Industrial Production: Testing for Cointegration in some of the OECD Countries. Eurasian
Journal of Business and Economics, 4(8), 1-12.
Eltony, M. N., & Al-Awadi, M. (2001). Oil Price Fluctuations and Their Impact on the
Macroeconomic Variables of Kuwait: A Case Study Using A VAR Model for Kuwait.
International Journal of Energy Research, 25, 939-959. http://dx.doi.org/10.1002/er.731
Engemann, Kristie M., Kevin L. Kliesen., & Michael T. Owyang (2010). Do Oil Shocks Drive
Business Cycles? Some U.S. and International Evidence. Working Paper, Federal Reserve
Bank of St. Louis.
Farzanegan, M. R., & Markwardt, G. (2009). The Effects of Oil Price Shocks on the Iranian
Economy. Energy Economics, 31, 134-151. http://dx.doi.org/10.1016/j.eneco.2008.09.003
Ferderer, J. P. (1996). Oil Price Volatility and the Macroeconomy. Journal of
Macroeconomics, 18, 1-26. http://dx.doi.org/10.1016/S0164-0704(96)80001-2
González, A., & Nabiyev, S. (2009). Oil Price Fluctuations and its Effect on GDP Growth: A
Case Study of USA and Sweden. Jönköping University: Jönköping International Business
School. Retrieved from http://www.Diva-Portal.Org/Smash/Get/Diva2:202051/Fulltext01.Pdf
Hamilton, J. D. (1983). Oil and the Macroeconomy Since World War II. Journal of Political
Economy, 91, 228-248. http://dx.doi.org/10.1086/261140
Hamilton, J. D. (1988). A Neoclassical Model of Unemployment and the Business Cycle. The
Journal of Political Economy, 96, 593-617. http://dx.doi.org/10.1086/261553
Hamilton, J. D. (1996). This Is What Happened To The Oil Price-Macroeconomy Relationship.
Journal of Monetary Economics, 38, 215-220. http://dx.doi.org/10.1016/S0304-
3932(96)01282-2
Hamilton, J. D. (2003). What Is an Oil Shock?. Journal of Econometrics, 113, 363- 398.
http://dx.doi.org/10.1016/S0304-4076(02)00207-5
Hamilton, J. D. (2011). Nonlinearities and the Macroeconomic Effects of Oil Prices.
Macroeconomic Dynamics, 15(S3), 364-378. http://dx.doi.org/10.1017/S1365100511000307
Hunt, B., Isard, P. & Laxton, D. (2001). The Macroeconomic Effects of Higher Oil Price. IMF
Working Paper International Energy Agency “IEA Annual Report” Various Years
Im, K. S., Pesaran, M. H., & Shin, Y. (2003). Testing for unit roots in heterogeneous
panels. Journal of econometrics, 115(1), 53-74.
Mukhriz Izraf Azman AZIZ & Jauhari DAHALAN
Page | 120 EJBE 2015, 8 (16)
Jbir, R., & Zouari-Ghorbel, S. (2009). Recent Oil Price Shock and Tunisian Economy. Energy
Policy, 37, 1041-1051. http://dx.doi.org/10.1016/j.enpol.2008.10.044
Jiménez-Rodrígueza, Rebeca., & Marcelo Sánchez (2005). Oil Price Shocks and Real GDP
Growth: Empirical Evidence for Some OECD Countries. Applied Economics, 37, 201—228.
Ju, K., Zhou, D., Zhou, P., & Wu, J. (2014). Macroeconomic effects of oil price shocks in China:
An empirical study based on Hilbert–Huang transform and event study. Applied Energy, 136,
1053-1066. http://dx.doi.org/10.1016/j.apenergy.2014.08.037
Jumah, A., & Pastuszyn, G. (2007). Oil Price Shocks, Monetary Policy and Aggregate Demand
in Ghana. Economics Series.
Leduc, S., & Sill, K. (2004). A Quantitative Analysis of Oil-Price Shocks, Systematic Monetary
Policy, and Economic Downturns. Journal of Monetary Economics, 51, 781-808.
http://dx.doi.org/10.1016/j.jmoneco.2003.09.004
Lee, K., Ni, S., & Ratti, R. A. (1995). Oil Shocks and the Macroeconomy: The Role of Price
Variability. The Energy Journal, 16, 39-56. http://dx.doi.org/10.5547/ISSN0195-6574-EJVol16-
No4-2
Levin, A., Lin, C. F., & Chu, C. S. J. (2002). Unit root tests in panel data: asymptotic and finitesample
properties. Journal of econometrics, 108(1), 1-24.
Love, I., & L. Zicchino (2006). Financial Development and Dynamic Investment Behaviour:
Evidence from Panel VAR. The Quarterly Review of Economics and Finance 46(2), 190-210.
http://dx.doi.org/10.1016/j.qref.2005.11.007
Lütkepohl, H. (2007). General-to-specific or specific-to-general modelling? An opinion on
current econometric terminology. Journal of Econometrics, 136(1), 319-324.
Mallick, S. K., & Mohsin, M. (2007). On the Effects of Inflation Shocks in a Small Open
Economy. Australian Economic Review, 40(3), 253-266. http://dx.doi.org/10.1111/j.1467-
8462.2007.00450.x
Mallick, S. K., & Mohsin, M. (2010). On the Real Effects of Inflation in Open Economies:
Theory and Empirics. Empirical Economics, 39(3), 643-673.
http://dx.doi.org/10.1007/s00181-009-0328-0
Mork, K. A. (1989). Oil and the Macroeconomy When Prices Go Up and Down: An Extension
of Hamilton's Results. Journal of Political Economy, 97, 740-744.
http://dx.doi.org/10.1086/261625
Negi, P. (2015). Impact of Oil Price on Economic Growth: A Study of BRIC Nations. Indian
Journal of Accounting, 47, 1.
O’neill, P. & Terrell. (2008). The Role of Higher Oil Prices: A Case of Major Developed
Countries. Research in Finance. Emerald Group Publishing Limited, 287-300.
http://dx.doi.org/10.1016/s0196-3821(07)00211-0
Rahman, S., & Serletis, A. (2010). The Asymmetric Effects of Oil Price and Monetary Policy
Shocks: A Nonlinear VAR Approach. Energy Economics, 32(6), 1460-1466.
http://dx.doi.org/10.1016/j.eneco.2010.06.003
Rasche, R. H. & Tatom, J. A. (1981). Energy Price Shocks, Aggregate Supply and Monetary
Policy: The Theory and International Evidence. Carnegie-Rochester Conference Series on
Public Policy, 14, 9-93. http://dx.doi.org/10.1016/0167-2231(81)90002-6
Vu, T. K., & Nakata, H. (2014). The Macroeconomic Effects of Oil Price Fluctuations in ASEAN
Countries: Analysis Using a VAR with Block Exogeneity (No. 619).

Thank you for copying data from http://www.arastirmax.com