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Does oil price volatility matter for Asian emerging economies?

Rafiq,S and Salim,R 2014, Does oil price volatility matter for Asian emerging economies?, Economic analysis and policy, vol. 44, no. 4, pp. 417-441, doi: 10.1016/j.eap.2014.11.002.

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Title Does oil price volatility matter for Asian emerging economies?
Author(s) Rafiq,SORCID iD for Rafiq,S orcid.org/0000-0002-2109-7441
Salim,R
Journal name Economic analysis and policy
Volume number 44
Issue number 4
Start page 417
End page 441
Publisher Elsevier
Place of publication Chatswood, NSW
Publication date 2014-10-01
ISSN 0313-5926
Keyword(s) Bayesian VAR
Cross-sectional dependence
Generalized impulse response functions
Generalized variance decompositions
Oil price volatility
Summary 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.
Language eng
DOI 10.1016/j.eap.2014.11.002
Field of Research 140205 Environment and Resource Economics
Socio Economic Objective 910103 Economic Growth
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ┬ęChatswood, NSW
Persistent URL http://hdl.handle.net/10536/DRO/DU:30068345

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