Rafiq, Shuddhasattwa and Salim, Ruhul A. and Bloch, Harry (2009) Impact of crude oil price volatility on economic activities: an empirical investigation in the Thai economy. Resources Policy, 34 (3). pp. 121-132. ISSN 0301-4207
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Official URL: http://dx.doi.org/10.1016/j.resourpol.2008.09.001
Identification Number or DOI: doi: 10.1016/j.resourpol.2008.09.001
This paper empirically examines the impact of oil price volatility on key macroeconomic indicators of Thailand. Following Andersen etal.[2004. Analytical evaluation of volatility forecasts. International Economic Review 45(4), 1079–1110], quarterly oil price volatility is measured by using the realized volatility (RV). The impact of the oil price volatility is investigated using the vector auto-regression (VAR) system. The Granger causality test, impulse response functions, and variance decomposition show that oil price volatility has significant impact on macroeconomic indicators, such as unemployment and investment, over the period from 1993 Q1 to 2006 Q4. Perron’s [1997. Further evidence on breaking trend functions in macroeconomic variables. Journal of Econometrics 80(2), 355–385] test identifies structural breaks in all the concerned variables during the time of the Asian Financial Crisis (1997–1998). A VAR for the post-crisis period shows that the impact of oil price volatility is transmitted to budget deficit. The floating exchange rate regime introduced after the crisis may be the key contributor to this new channel of impact.
|Item Type:||Article (Commonwealth Reporting Category C)|
|Additional Information:||Copy of this paper is available upon request from Shuddhasattwa.Rafiq@usq.edu.au|
|Uncontrolled Keywords:||oil price volatility; Thailand; Granger causality test; impulse response function; variance decomposition|
|Fields of Research (FOR2008):||15 Commerce, Management, Tourism and Services > 1503 Business and Management > 150308 International Business|
14 Economics > 1402 Applied Economics > 140205 Environment and Resource Economics
15 Commerce, Management, Tourism and Services > 1502 Banking, Finance and Investment > 150202 Financial Econometrics
|Socio-Economic Objective (SEO2008):||B Ecomonic Development > 91 Economic Framework > 9101 Macroeconomics > 910103 Economic Growth|
|Deposited On:||11 Apr 2010 15:12|
|Last Modified:||17 Feb 2012 12:34|
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