Does Oil Price Volatility Matter for Asian Emerging Economies?
This article investigates the impact of oil price volatility on six major emerging economies in Asia using time-series cross-section and time-series econometric techniques. To assess the robustness of the findings, we further implement such heterogeneous panel data estimation methods as Mean Group (...
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| Format: | Journal Article |
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The Economic Society of Australia
2014
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| Online Access: | http://hdl.handle.net/20.500.11937/13611 |
| _version_ | 1848748391663665152 |
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| author | Rafiq, S. Salim, Ruhul |
| author_facet | Rafiq, S. Salim, Ruhul |
| author_sort | Rafiq, S. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | This article investigates the impact of oil price volatility on six major emerging economies in Asia using time-series cross-section and time-series econometric techniques. To assess the robustness of the findings, we further implement such heterogeneous panel data estimation methods as Mean Group (MG), Common Correlated Effects Mean Group (CCEMG) and Augmented Mean Group (AMG) estimators to allow for cross-sectional dependence. The empirical results reveal that oil price volatility has a detrimental effect on these emerging economies. In the short run, oil price volatility influenced output growth in China and affected both GDP growth and inflation in India. In the Philippines, oil price volatility impacted on inflation, but in Indonesia, it impacted on both GDP growth and inflation before and after the Asian financial crisis. In Malaysia, oil price volatility impacted on GDP growth, although there is notably little feedback from the opposite side. For Thailand, oil price volatility influenced output growth prior to the Asian financial crisis, but the impact disappeared after the crisis. It appears that oil subsidization by the Thai Government via introduction of the oil fund played a significant role in improving the economic performance by lessening the adverse effects of oil price volatility on macroeconomic indicators. |
| first_indexed | 2025-11-14T07:04:18Z |
| format | Journal Article |
| id | curtin-20.500.11937-13611 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:04:18Z |
| publishDate | 2014 |
| publisher | The Economic Society of Australia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-136112019-02-19T05:34:47Z Does Oil Price Volatility Matter for Asian Emerging Economies? Rafiq, S. Salim, Ruhul Bayesian VAR Oil price volatility Generalized variance decompositions Cross-sectional dependence Generalized impulse response functions This article investigates the impact of oil price volatility on six major emerging economies in Asia using time-series cross-section and time-series econometric techniques. To assess the robustness of the findings, we further implement such heterogeneous panel data estimation methods as Mean Group (MG), Common Correlated Effects Mean Group (CCEMG) and Augmented Mean Group (AMG) estimators to allow for cross-sectional dependence. The empirical results reveal that oil price volatility has a detrimental effect on these emerging economies. In the short run, oil price volatility influenced output growth in China and affected both GDP growth and inflation in India. In the Philippines, oil price volatility impacted on inflation, but in Indonesia, it impacted on both GDP growth and inflation before and after the Asian financial crisis. In Malaysia, oil price volatility impacted on GDP growth, although there is notably little feedback from the opposite side. For Thailand, oil price volatility influenced output growth prior to the Asian financial crisis, but the impact disappeared after the crisis. It appears that oil subsidization by the Thai Government via introduction of the oil fund played a significant role in improving the economic performance by lessening the adverse effects of oil price volatility on macroeconomic indicators. 2014 Journal Article http://hdl.handle.net/20.500.11937/13611 10.1016/j.eap.2014.11.002 The Economic Society of Australia fulltext |
| spellingShingle | Bayesian VAR Oil price volatility Generalized variance decompositions Cross-sectional dependence Generalized impulse response functions Rafiq, S. Salim, Ruhul Does Oil Price Volatility Matter for Asian Emerging Economies? |
| title | Does Oil Price Volatility Matter for Asian Emerging Economies? |
| title_full | Does Oil Price Volatility Matter for Asian Emerging Economies? |
| title_fullStr | Does Oil Price Volatility Matter for Asian Emerging Economies? |
| title_full_unstemmed | Does Oil Price Volatility Matter for Asian Emerging Economies? |
| title_short | Does Oil Price Volatility Matter for Asian Emerging Economies? |
| title_sort | does oil price volatility matter for asian emerging economies? |
| topic | Bayesian VAR Oil price volatility Generalized variance decompositions Cross-sectional dependence Generalized impulse response functions |
| url | http://hdl.handle.net/20.500.11937/13611 |