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Would the volatility of oil price affect the GDP of a country ? Singaporean evidence

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  • Ihsaanul, Ahmad
  • Masih, Mansur

Abstract

Singapore is a small and open economy but is highly engaged in oil-related business. This study focuses on testing whether the volatility of oil price would affect the GDP of a country. Singapore is used as a case study. We used ARDL and Nonlinear ARDL for the analysis. Our findings are: i) There is a long-term correlation between Oil and GDP. ii) The Granger causality shows that GDP affects Oil rather than the other way around based on VDC of the ARDL. iii) NARDL shows a positive change in Oil does affect GDP in the long-run. However, a negative change is not significant. iv) There is a long-run asymmetry between Oil and GDP, but only symmetry in the short -run. v) The GDP will fluctuate positively and negatively in the short-run before coming back to equilibrium. Each of the results is given theoretical and logical interpretations.

Suggested Citation

  • Ihsaanul, Ahmad & Masih, Mansur, 2018. "Would the volatility of oil price affect the GDP of a country ? Singaporean evidence," MPRA Paper 112462, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:112462
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    References listed on IDEAS

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    More about this item

    Keywords

    Oil price; GDP; ARDL; Nonlinear ARDL; VDC; Singapore;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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