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The Endogeneity of Oil Price Shocks and Their Effects on Indonesia: A Structural Vector Autoregression Model

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  • MANSUR, ALFAN

Abstract

The Endogeneity of Oil Price Shocks and Their Effects on Indonesia: A Structural Vector Autoregression Model. In this paper the endogeneity of oil price shocks as well as the effects of different type of the shocks on the Indonesian economy represented by its gross domestic product (GDP), consumer price index (CPI) and real effective exchange rate (REER) were investigated. A structural Vector Autoregression (SVAR) model was constructed extending Kilian (2009) model by employing several lags constraints in the model as Indonesia is a small open economy. There was evidence that oil price shocks were endogenously formed by oil-specific-demand itself, aggregate global demand and a fraction of oil stock. The exports’ effect convincingly existed in the oil price shocks influencing the economy of Indonesia. In addition, there was no evidence that Indonesia enjoyed benefits from being an OPEC member.

Suggested Citation

  • Mansur, Alfan, 2015. "The Endogeneity of Oil Price Shocks and Their Effects on Indonesia: A Structural Vector Autoregression Model," MPRA Paper 93627, University Library of Munich, Germany, revised 20 Dec 2015.
    • Handle: RePEc:pra:mprapa:93627
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    References listed on IDEAS

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    Cited by:

    1. Mansur, Alfan, 2019. "Sharia Banking Dynamics and the Macroeconomic Responses: Evidence from Indonesia," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 53(2), pages 139-152.
    2. Mansur, Alfan, 2016. "Harga Minyak Merosot: Negara Untung Atau Rugi [Tumbling Oil Prices: Gains or Losses]," MPRA Paper 93946, University Library of Munich, Germany, revised 02 Mar 2016.

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    More about this item

    Keywords

    Vector autoregression; Oil price; Shocks;
    All these keywords.

    JEL classification:

    • C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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