The Impact of Crude Oil Price on Macroeconomic Variables: New Evidence from Malaysia
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Cunado, J. & Perez de Gracia, F., 2005.
"Oil prices, economic activity and inflation: evidence for some Asian countries,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 45(1), pages 65-83, February.
- Juncal Cunado & Fernando Pérez de Gracia, 2004. "Oil Prices, Economic Activity and Inflation: Evidence for Some Asian Countries," Faculty Working Papers 06/04, School of Economics and Business Administration, University of Navarra.
- Baffes, John, 2007.
"Oil spills on other commodities,"
Resources Policy, Elsevier, vol. 32(3), pages 126-134, September.
- Baffes, John, 2007. "Oil spills on other commodities," Policy Research Working Paper Series 4333, The World Bank.
- Park, Jungwook & Ratti, Ronald A., 2008. "Oil price shocks and stock markets in the U.S. and 13 European countries," Energy Economics, Elsevier, vol. 30(5), pages 2587-2608, September.
- Jammazi, Rania & Aloui, Chaker, 2010. "Wavelet decomposition and regime shifts: Assessing the effects of crude oil shocks on stock market returns," Energy Policy, Elsevier, vol. 38(3), pages 1415-1435, March.
- Mara Madaleno & Carlos Pinho, 2012. "International stock market indices comovements: a new look," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 17(1), pages 89-102, January.
- Mansur Masih & Ali Al-Elg & Haider Madani, 2009. "Causality between financial development and economic growth: an application of vector error correction and variance decomposition methods to Saudi Arabia," Applied Economics, Taylor & Francis Journals, vol. 41(13), pages 1691-1699.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Abdullah, Ahmad Monir & Saiti, Buerhan & Masih, Abul Mansur M., 2014. "The Impact of Crude Oil Price on Islamic Stock Indices of South East Asian (SEA) Countries: A Comparative Analysis," MPRA Paper 56957, University Library of Munich, Germany.
- Rithuan, Syahidah Hanis Meor & Abdullah, Ahmad Monir & Masih, Abul Mansur M., 2014. "The Impact of Crude Oil Price on Islamic Stock Indices of Gulf Cooperation Council (GCC) Countries: A Comparative Analysis," MPRA Paper 56989, University Library of Munich, Germany.
- Ahmad Monir Abdullah & Abul Mansur Mohammed Masih, 2016.
"Diversification in Crude Oil and Other Commodities: A Comparative Analysis,"
Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 12(1), pages 101-128.
- Abdullah, Ahmad Monir & Saiti, Buerhan & Masih, Abul Mansur M., 2014. "Diversification in Crude Oil and Other Commodities: A Comparative Analysis," MPRA Paper 56988, University Library of Munich, Germany.
- Stavros Degiannakis & George Filis & Vipin Arora, 2018.
"Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence,"
The Energy Journal, , vol. 39(5), pages 85-130, September.
- Stavros Degiannakis, George Filis, and Vipin Arora, 2018. "Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
- Stavros Degiannakis & George Filis & Vipin Arora, 2018. "Oil prices and stock markets: A review of the theory and empirical evidence," BAFES Working Papers BAFES22, Department of Accounting, Finance & Economic, Bournemouth University.
- Degiannakis, Stavros & Filis, George & Arora, Vipin, 2018. "Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence," MPRA Paper 96270, University Library of Munich, Germany.
- Caporale, Guglielmo Maria & Çatık, Abdurrahman Nazif & Huyuguzel Kısla, Gul Serife & Helmi, Mohamad Husam & Akdeniz, Coşkun, 2022. "Oil prices and sectoral stock returns in the BRICS-T countries: A time-varying approach," Resources Policy, Elsevier, vol. 79(C).
- Zhang, Chuanguo & Chen, Xiaoqing, 2011. "The impact of global oil price shocks on China’s stock returns: Evidence from the ARJI(-ht)-EGARCH model," Energy, Elsevier, vol. 36(11), pages 6627-6633.
- Moya-Martínez, Pablo & Ferrer-Lapeña, Román & Escribano-Sotos, Francisco, 2014. "Oil price risk in the Spanish stock market: An industry perspective," Economic Modelling, Elsevier, vol. 37(C), pages 280-290.
- Chen, Wang & Hamori, Shigeyuki & Kinkyo, Takuji, 2014. "Macroeconomic impacts of oil prices and underlying financial shocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 1-12.
- Smyth, Russell & Narayan, Paresh Kumar, 2018. "What do we know about oil prices and stock returns?," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 148-156.
- Martín-Barragán, Belén & Ramos, Sofia B. & Veiga, Helena, 2015.
"Correlations between oil and stock markets: A wavelet-based approach,"
Economic Modelling, Elsevier, vol. 50(C), pages 212-227.
- Martín-Barragán, Belén & Ramos, Sofía B. & Veiga, Helena, 2013. "Correlations between oil and stock markets : a wavelet-based approach," DES - Working Papers. Statistics and Econometrics. WS ws130504, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Zhang, Chuanguo & Chen, Xiaoqing, 2014. "The impact of global oil price shocks on China’s bulk commodity markets and fundamental industries," Energy Policy, Elsevier, vol. 66(C), pages 32-41.
- Akoum, Ibrahim & Graham, Michael & Kivihaho, Jarno & Nikkinen, Jussi & Omran, Mohammed, 2012. "Co-movement of oil and stock prices in the GCC region: A wavelet analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 385-394.
- Lin, Boqiang & Wesseh, Presley K. & Appiah, Michael Owusu, 2014. "Oil price fluctuation, volatility spillover and the Ghanaian equity market: Implication for portfolio management and hedging effectiveness," Energy Economics, Elsevier, vol. 42(C), pages 172-182.
- Natanelov, Valeri & McKenzie, Andrew M. & Van Huylenbroeck, Guido, 2013. "Crude oil–corn–ethanol – nexus: A contextual approach," Energy Policy, Elsevier, vol. 63(C), pages 504-513.
- Jammazi, Rania, 2012.
"Oil shock transmission to stock market returns: Wavelet-multivariate Markov switching GARCH approach,"
Energy, Elsevier, vol. 37(1), pages 430-454.
- Rania Jammazi, 2014. "Oil Shock Transmission to Stock Market Returns: Wavelet Multivariate Markov Switching GARCH Approach," Working Papers 2014-197, Department of Research, Ipag Business School.
- Mohamed AROURI & Christophe RAULT, 2009.
"On the Influence of Oil Prices on Stock Markets: Evidence from Panel Analysis in GCC Countries,"
LEO Working Papers / DR LEO
1299, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Mohamed El Hedi Arouri & Christophe Rault, 2010. "On The Influence of Oil Prices on Stock Markets: Evidence from Panel Analysis in GCC Countries," Working Papers 538, Economic Research Forum, revised 08 Jan 2010.
- Mohamed El hedi Arouri & Christophe Rault, 2009. "On the Influence of Oil Prices on Stock Markets: Evidence from Panel Analysis in GCC Countries," CESifo Working Paper Series 2690, CESifo.
- Christophe Rault & Mohamed El Hedi AROURI, 2009. "On the influence of oil prices on stock markets: Evidence from panel analysis in GCC countries," William Davidson Institute Working Papers Series wp961, William Davidson Institute at the University of Michigan.
- Filis, George & Degiannakis, Stavros & Floros, Christos, 2011.
"Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries,"
International Review of Financial Analysis, Elsevier, vol. 20(3), pages 152-164, June.
- Filis, George & Degiannakis, Stavros & Floros, Christos, 2011. "Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries," MPRA Paper 96299, University Library of Munich, Germany.
- Shaeri, Komeil & Adaoglu, Cahit & Katircioglu, Salih T., 2016. "Oil price risk exposure: A comparison of financial and non-financial subsectors," Energy, Elsevier, vol. 109(C), pages 712-723.
- Arouri, Mohamed El Hedi, 2011. "Does crude oil move stock markets in Europe? A sector investigation," Economic Modelling, Elsevier, vol. 28(4), pages 1716-1725, July.
- Stavros Degiannakis, George Filis, and Renatas Kizys, 2014.
"The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data,"
The Energy Journal, International Association for Energy Economics, vol. 0(Number 1).
- Stavros Degiannakis & George Filis & Renatas Kizys, 2014. "The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data," The Energy Journal, , vol. 35(1), pages 35-56, January.
- Degiannakis, Stavros & Filis, George & Kizys, Renatas, 2014. "The effects of oil price shocks on stock market volatility: Evidence from European data," MPRA Paper 96296, University Library of Munich, Germany.
More about this item
Keywords
Commodity; Malaysian Macro Variables; Continuous Wavelet Transformation; Diversification; Causality;All these keywords.
JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ENE-2014-07-05 (Energy Economics)
- NEP-SEA-2014-07-05 (South East Asia)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:56976. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.