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Oil Price Volatility Shocks and the Macroeconomic Indicators: Evidence from Saudi Arabia

Author

Listed:
  • Darshita Fulara Gunwant

    (Department of Management Studies, Birla Institute of Technology and Science, Pilani - Dubai Campus, Dubai Academic City, Dubai, UAE)

  • Sartaj Rasool Rather

    (Department of Management Studies, Birla Institute of Technology and Science, Pilani - Dubai Campus, Dubai Academic City, Dubai, UAE)

  • Faisal Nazir Zargar

    (Department of Management Studies, Birla Institute of Technology and Science, Pilani - Dubai Campus, Dubai Academic City, Dubai, UAE)

Abstract

This study investigates whether the positive and negative shocks in oil price volatility have an asymmetric effect on the volatility measures of the macroeconomic variables in the context of Saudi Arabia- a major oil exporting country in the region. The empirical results suggest that a positive shock in the oil price volatility tends to generate higher volatility in inflation, forex reserves, public spending and stock prices, whereas a negative shock in the oil price volatility does not seem to have any significant impact on the volatility measures of most of these variables. The crucial inference that emerges from these findings is that the unfavourable events in the oil markets that cause higher volatility in oil prices seem to generate higher macroeconomic uncertainty. However, the favourable oil market events that are believed to reduce uncertainty, do not seem to have a stabilizing impact on the macroeconomic environment of the Saudi economy.

Suggested Citation

  • Darshita Fulara Gunwant & Sartaj Rasool Rather & Faisal Nazir Zargar, 2024. "Oil Price Volatility Shocks and the Macroeconomic Indicators: Evidence from Saudi Arabia," International Journal of Energy Economics and Policy, Econjournals, vol. 14(3), pages 138-141, May.
  • Handle: RePEc:eco:journ2:2024-03-15
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    References listed on IDEAS

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    Cited by:

    1. Jumah Ahmad Alzyadat, 2024. "The Oil Price Shocks and the Monetary Stability in Saudi Arabia," International Journal of Energy Economics and Policy, Econjournals, vol. 14(6), pages 32-39, November.

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    More about this item

    Keywords

    Oil Price Volatility Shocks; Asymmetric Causality Test; Macroeconomic Uncertainty;
    All these keywords.

    JEL classification:

    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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