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Asymmetric effects of oil price shocks on Asian economies: a nonlinear analysis

Author

Listed:
  • Muhammad Arshad Khan

    (COMSATS Institute of Information Technology)

  • Muhammad Iftikhar Ul Husnain

    (COMSATS Institute of Information Technology)

  • Qaisar Abbas

    (COMSATS Institute of Information Technology)

  • Syed Zulfiqar Ali Shah

    (University of Warwick)

Abstract

This study examines the impact of asymmetric oil price shocks on economic activity in selected 13 Asian economies, namely Bangladesh, China, Hong Kong, India, Indonesia, Japan, South Korea, Malaysia, Pakistan, the Philippines, Singapore, Sri Lanka and Thailand by employing nonlinear autoregressive distributed lag approach over the period 1980Q1–2014Q2. Our results provide no evidence of a long-run relationship between positive and negative oil price changes and economic activity in Bangladesh, China, India, Pakistan, the Philippines, Singapore, Sri Lanka and Thailand. In the short run, real GDP responds symmetrically to positive and negative oil price changes in China, South Korea, Malaysia, Pakistan, the Philippines, Singapore, Sri Lanka and Thailand, while it behaves asymmetrically to oil price shocks in Bangladesh, Hong Kong, India, Indonesia and Japan. However, no long-run asymmetry in oil price changes and economic activity was detected in all the countries. The impulse response analysis reveals that oil price shocks have limited asymmetric effects on GDP growth in Bangladesh, Indonesia, Japan, Malaysia, Pakistan and Singapore, while oil price shocks have symmetric impact on the GDP growth in India, South Korea, the Philippines, Sri Lanka and Thailand. It is also observed that the impact of oil price shocks is relatively higher in Bangladesh, China, Indonesia, Malaysia and Pakistan than Hong Kong, Japan, South Korea and Singapore. In case of India, the Philippines, Sri Lanka and Thailand, the impact of oil price shocks is similar to that of Hong Kong, Japan, South Korea and Singapore.

Suggested Citation

  • Muhammad Arshad Khan & Muhammad Iftikhar Ul Husnain & Qaisar Abbas & Syed Zulfiqar Ali Shah, 2019. "Asymmetric effects of oil price shocks on Asian economies: a nonlinear analysis," Empirical Economics, Springer, vol. 57(4), pages 1319-1350, October.
    • Handle: RePEc:spr:empeco:v:57:y:2019:i:4:d:10.1007_s00181-018-1487-7
    DOI: 10.1007/s00181-018-1487-7
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    Keywords

    Oil price; Economic activity; Asymmetric cointegration; Asia;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • O56 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Oceania
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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