Asymmetric oil price and Asian economies: A nonlinear ARDL approach
Source of Publication
© 2020 Elsevier Ltd We study the asymmetric effects of oil price changes on the domestic output of the ASEAN-5 countries (Indonesia, Malaysia. Singapore, Philippines, and Thailand) plus Japan and Korea. Asymmetries are introduced by accumulating oil price increases separately from decreases using partial sum processes in a nonlinear ARDL framework. Utilizing annual data for the period 1973–2018, the results from the linear ARDL model suggest that oil price changes do not affect the domestic output of Indonesia, Korea, Singapore, and Thailand. However, the nonlinear ARDL model reveals that oil price changes asymmetrically affect the domestic output of all seven Asian countries in both the short-run and in the long-run. We observe an asymmetrically larger effect on output from rising oil prices than from falling prices, but effects vary across countries. Moreover, nonlinear causality tests confirm causality from oil price to output in all the countries.
Nusair, Salah A. and Olson, Dennis, "Asymmetric oil price and Asian economies: A nonlinear ARDL approach" (2021). Scopus Indexed Articles. 2635.