Revisiting the Dynamic Effects of Oil Price Shock on Small Developing Economies
نویسندگان
چکیده
This paper examines the dynamic effects of oil price shocks in addition to the aggregate supply and demand shocks on macroeconomic fluctuations in four sample economies: Indonesia, Malaysia, Pakistan and Thailand. We aim to discover whether oil price shocks play a crucial role in explaining output and domestic price fluctuation in small emerging economies after 1990s. We are also keen to assess whether oil price shocks have different effects on macroeconomic variations in oil-importing (Pakistan and Thailand) and oilexporting (Indonesia and Malaysia) countries. A structural VAR is applied to identify different structural shocks and further explore the relative contributions of different shocks on macroeconomic fluctuation. Our results show that oil price shocks have negligible positive effects on output in one oil exporting country (Malaysia), but also in two oil importing countries (Pakistan and Thailand). However, it is less likely that oil price shocks have a substantial impact on macroeconomic fluctuation. The aggregate supply and demand shocks are the main sources of fluctuation in output and domestic price respectively in Malaysia, Pakistan and Thailand. In Indonesia, aggregate supply shocks are the key reason for both output fluctuation and inflation.
منابع مشابه
Macroeconomic, International Linkage and Effects of External Shocks in Southeast Asian Emerging Economies
This study is an attempt to examine the effects of external shocks on macroeconomic variables in selective small open emerging economies in Southeast Asia. A quarterly Global Vector Autoregressive (GVAR) model, including 33 countries, was used throughout 1979–2013. The empirical results showed that the target countries were affected by external shocks, especially the shocks in the U.S, Euro are...
متن کاملOil Price Shocks and Economic Fluctuations in Iran as a Small Open Oil Exporting Economy
Oil price shocks are the major source of economic instability in oil exporting developing countries, including Iran. In this paper a Multi Sector Dynamic Stochastic General Equilibrium model, with emphasis on optimization of oil sector as a producing sector is designed. Furthermore, an optimizing import sector is introduced into the model by considering the price rigidity in imported goods as a...
متن کاملOil Price Shock and Optimal Monetary Policy in a Model of Small Open Oil Exporting Economy - Case of Iran
Oil price shocks are the main source of macroeconomic fluctuations in oil exporting countries. It is believed that appropriate monetary policy can help to stabilize these unwanted variations toward optimal allocations. A stochastic dynamic general equilibrium model featuring the properties of both cost push and wealth effect transmission channels is developed for the Iranian economy. In thi...
متن کاملDating Business Cycle in Oil Exporting Countries
In this paper, we empirically investigate the relationship between oil price changes and output in a group of oil exporting countries. The dynamics of business cycles in Libya, Saudi Arabia, Nigeria, Kuwait, Venezuela and Qatar are modeled by alternative regime switching models. We show that the extension of uni-variate Markov Switching model in order to include oil revenue improves dating busi...
متن کاملThe Effect of Exchange Rate, Oil Prices and Global Inflation Shocks on Macroeconomic Variables for the Iranian Economy in the form of a DSGE Model
T he world economy has experienced a bulk of positive and negative shocks in crude oil prices and exchange rates over the years, and that global inflation has undergone some changes. Such shocks have affected the macroeconomic variables in the countries of the world and have challenged the economies of these countries, and have led them to take different measures to protect themselves agai...
متن کامل