The impact of crude oil price volatility on selected Asian emerging economies
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This paper empirically investigates the impact of oil price volatility on six major emerging economies of Asia, namely China, India, Indonesia, Malaysia, Philippines and Thailand. Following Andersen et al. (2004) quarterly oil price volatility is measured by using the realized volatility (RV). For China, according to the VAR analysis along with the Granger causality test, generalized impulse response functions and generalized variance decompositions, it can be inferred that oil price volatility impacts output growth in the short run. For India oil price volatility impacts both GDP growth and inflation. In Philippines oil price volatility impacts inflation. For the Indonesian economy oil price volatility impacts both GDP growth and inflation before and after the Asian financial crisis. In Malaysia oil price volatility impacts GDP growth, while there is a very little feedback from the opposite side. For Thailand, oil price volatility impacts output growth for the whole studied period. However, after the Asian financial crisis the impact seems to disappear. It seems that oil subsidization of the Thai Government by introduction of the oil fund plays a significant role in improving economic performance by lessening the adverse effect of oil price volatility on macroeconomic indicators.
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