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Crude Oil Price Shocks and Macroeconomic Performances in the ASEAN Economies

In: Financial Environment and Business Development

Author

Listed:
  • Giray Gozgor

    (Istanbul Medeniyet University)

  • Youngho Chang

    (Nanyang Technological University)

  • Mehmet Huseyin Bilgin

    (Istanbul Medeniyet University)

Abstract

This paper examines the relationship between the crude oil price shocks and the macroeconomic performance in the panel data set of 10 ASEAN economies: Brunei Darussalam, Cambodia, Indonesia, Laos, Malaysia, Myanmar, the Philippines, Singapore, Thailand, and Vietnam, over the period 1970–2013. We implement a second-generation panel unit root test, the panel cointegration analysis, accounting for multiple structural breaks, the panel dynamic ordinary least squares (PDOLS) estimations, and the panel-causality test in sequence. The empirical findings imply that there is only a statistically significant cointegration between the crude oil prices and the real GDP per capita levels. The results of the panel-causality test also indicate that there is a significant pairwise causal relationship between the levels of crude oil price and the real GDP per capita. In addition, the results of the PDOLS estimations indicate that 10 % increase in the crude oil price leads to 1.8 % increase in the real GDP per capita in the ASEAN economies in general. Running the common correlated effects panel estimations, we obtain the coefficients for each country and observe that the significant and positive effects are valid in 7 of 10 countries.

Suggested Citation

  • Giray Gozgor & Youngho Chang & Mehmet Huseyin Bilgin, 2017. "Crude Oil Price Shocks and Macroeconomic Performances in the ASEAN Economies," Eurasian Studies in Business and Economics, in: Mehmet Huseyin Bilgin & Hakan Danis & Ender Demir & Ugur Can (ed.), Financial Environment and Business Development, pages 253-265, Springer.
    • Handle: RePEc:spr:eurchp:978-3-319-39919-5_20
    DOI: 10.1007/978-3-319-39919-5_20
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    Cited by:

    1. Taghizadeh-Hesary, Farhad & Rasoulinezhad, Ehsan & Yoshino, Naoyuki, 2017. "Trade Linkages and Transmission of Oil Price Fluctuations in a Model Incorporating Monetary Variables," ADBI Working Papers 777, Asian Development Bank Institute.
    2. Taghizadeh-Hesary, Farhad & Yoshino, Naoyuki & Rasoulinezhad, Ehsan & Chang, Youngho, 2019. "Trade linkages and transmission of oil price fluctuations," Energy Policy, Elsevier, vol. 133(C).

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