The impact of crude oil price volatility on selected Asian emerging economies
This paper empirically investigates the impact of oil price volatility on six major emerging economies of Asia, namely China, India, Indonesia, Malaysia, Philippines and Thailand. Following Andersen et al. (2004) quarterly oil price volatility is measured by using the realized volatility (RV). For C...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Conference Paper |
| Published: |
World Business Institute Australia
2011
|
| Subjects: | |
| Online Access: | http://www.wbiconpro.com/220-Salim.pdf http://hdl.handle.net/20.500.11937/14857 |
| _version_ | 1848748735598690304 |
|---|---|
| author | Salim, Ruhul Rafiq, S. |
| author2 | Tanzil Hoque |
| author_facet | Tanzil Hoque Salim, Ruhul Rafiq, S. |
| author_sort | Salim, Ruhul |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | This paper empirically investigates the impact of oil price volatility on six major emerging economies of Asia, namely China, India, Indonesia, Malaysia, Philippines and Thailand. Following Andersen et al. (2004) quarterly oil price volatility is measured by using the realized volatility (RV). For China, according to the VAR analysis along with the Granger causality test, generalized impulse response functions and generalized variance decompositions, it can be inferred that oil price volatility impacts output growth in the short run. For India oil price volatility impacts both GDP growth and inflation. In Philippines oil price volatility impacts inflation. For the Indonesian economy oil price volatility impacts both GDP growth and inflation before and after the Asian financial crisis. In Malaysia oil price volatility impacts GDP growth, while there is a very little feedback from the opposite side. For Thailand, oil price volatility impacts output growth for the whole studied period. However, after the Asian financial crisis the impact seems to disappear. It seems that oil subsidization of the Thai Government by introduction of the oil fund plays a significant role in improving economic performance by lessening the adverse effect of oil price volatility on macroeconomic indicators. |
| first_indexed | 2025-11-14T07:09:46Z |
| format | Conference Paper |
| id | curtin-20.500.11937-14857 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:09:46Z |
| publishDate | 2011 |
| publisher | World Business Institute Australia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-148572017-01-30T11:46:29Z The impact of crude oil price volatility on selected Asian emerging economies Salim, Ruhul Rafiq, S. Tanzil Hoque Asian financial crisis Emerging economies Oil price volatility Generalized variance decompositions Generalized impulse response functions This paper empirically investigates the impact of oil price volatility on six major emerging economies of Asia, namely China, India, Indonesia, Malaysia, Philippines and Thailand. Following Andersen et al. (2004) quarterly oil price volatility is measured by using the realized volatility (RV). For China, according to the VAR analysis along with the Granger causality test, generalized impulse response functions and generalized variance decompositions, it can be inferred that oil price volatility impacts output growth in the short run. For India oil price volatility impacts both GDP growth and inflation. In Philippines oil price volatility impacts inflation. For the Indonesian economy oil price volatility impacts both GDP growth and inflation before and after the Asian financial crisis. In Malaysia oil price volatility impacts GDP growth, while there is a very little feedback from the opposite side. For Thailand, oil price volatility impacts output growth for the whole studied period. However, after the Asian financial crisis the impact seems to disappear. It seems that oil subsidization of the Thai Government by introduction of the oil fund plays a significant role in improving economic performance by lessening the adverse effect of oil price volatility on macroeconomic indicators. 2011 Conference Paper http://hdl.handle.net/20.500.11937/14857 http://www.wbiconpro.com/220-Salim.pdf World Business Institute Australia fulltext |
| spellingShingle | Asian financial crisis Emerging economies Oil price volatility Generalized variance decompositions Generalized impulse response functions Salim, Ruhul Rafiq, S. The impact of crude oil price volatility on selected Asian emerging economies |
| title | The impact of crude oil price volatility on selected Asian emerging economies |
| title_full | The impact of crude oil price volatility on selected Asian emerging economies |
| title_fullStr | The impact of crude oil price volatility on selected Asian emerging economies |
| title_full_unstemmed | The impact of crude oil price volatility on selected Asian emerging economies |
| title_short | The impact of crude oil price volatility on selected Asian emerging economies |
| title_sort | impact of crude oil price volatility on selected asian emerging economies |
| topic | Asian financial crisis Emerging economies Oil price volatility Generalized variance decompositions Generalized impulse response functions |
| url | http://www.wbiconpro.com/220-Salim.pdf http://hdl.handle.net/20.500.11937/14857 |