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2017 | OriginalPaper | Chapter

Crude Oil Price Shocks and Macroeconomic Performances in the ASEAN Economies

Authors : Giray Gozgor, Youngho Chang, Mehmet Huseyin Bilgin

Published in: Financial Environment and Business Development

Publisher: Springer International Publishing

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Abstract

This paper examines the relationship between the crude oil price shocks and the macroeconomic performance in the panel data set of 10 ASEAN economies: Brunei Darussalam, Cambodia, Indonesia, Laos, Malaysia, Myanmar, the Philippines, Singapore, Thailand, and Vietnam, over the period 1970–2013. We implement a second-generation panel unit root test, the panel cointegration analysis, accounting for multiple structural breaks, the panel dynamic ordinary least squares (PDOLS) estimations, and the panel-causality test in sequence. The empirical findings imply that there is only a statistically significant cointegration between the crude oil prices and the real GDP per capita levels. The results of the panel-causality test also indicate that there is a significant pairwise causal relationship between the levels of crude oil price and the real GDP per capita. In addition, the results of the PDOLS estimations indicate that 10 % increase in the crude oil price leads to 1.8 % increase in the real GDP per capita in the ASEAN economies in general. Running the common correlated effects panel estimations, we obtain the coefficients for each country and observe that the significant and positive effects are valid in 7 of 10 countries.

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Appendix
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Footnotes
1
For this purpose, the panel cointegration test of Westerlund (2006) uses the global minimization criteria for the sum of squared residuals that is proposed by Bai and Perron (1998) in finding the timing of structural breaks.
 
2
Since the panel data causality test methodology of Dumitrescu and Hurlin (2012) is based on the short-run relationship, all the variables in the system are required to be stationary.
 
3
The CCEP estimation is the most efficient estimation technique for the panel structure, due to not only allowing for “homogenous technology parameters” but also it models “heterogeneous factor loadings” in the estimation (Pesaran 2006). This estimation technique can also successfully eliminate “time-variant and unobservable” effects in ASEAN economies and it solves possible “identification problems” that can be related to a significant correlation among “cross-sectionally dependent countries” (Pesaran and Tosetti 2011).
 
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Metadata
Title
Crude Oil Price Shocks and Macroeconomic Performances in the ASEAN Economies
Authors
Giray Gozgor
Youngho Chang
Mehmet Huseyin Bilgin
Copyright Year
2017
DOI
https://doi.org/10.1007/978-3-319-39919-5_20