Show simple item record

dc.contributor.authorRafiq, Shuddsattwa
dc.contributor.authorSalim, Ruhul
dc.contributor.authorBloch, Harry
dc.date.accessioned2017-01-30T11:41:34Z
dc.date.available2017-01-30T11:41:34Z
dc.date.created2009-03-05T00:54:50Z
dc.date.issued2008
dc.identifier.citationRafiq, Shuddsattwa and Salim, Ruhul and Bloch, Harry. 2008. Impact of crude-oil price volatility on economic activities: An empirical investigation in the Thai economy. Resources Policy 2008.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/14119
dc.identifier.doi10.1016/j.resourpol.2008.09.001
dc.description.abstract

This paper empirically examines the impact of oil price volatility on key macroeconomic indicators of Thailand. Following Andersen et al. [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 1993Q1 to 2006Q4. 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.

dc.publisherPergamon
dc.subjectImpulse response function
dc.subjectThailand
dc.subjectOil price volatility
dc.subjectVariance decomposition
dc.subjectGranger causality test
dc.titleImpact of crude-oil price volatility on economic activities: An empirical investigation in the Thai economy
dc.typeJournal Article
dcterms.source.volume2008
dcterms.source.issn03014207
dcterms.source.titleResources Policy
curtin.note

The link to the journal’s home page is: "http://www.elsevier.com/wps/find/journaldescription.cws_home/622273/description#description" Copyright © 2008 Elsevier B.V. All rights reserved

curtin.accessStatusFulltext not available
curtin.facultyCurtin Business School
curtin.facultySchool of Economics and Finance


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record