Asymmetric oil price and Asian economies: A nonlinear ARDL approach

Author First name, Last name, Institution

Salah A. Nusair, Lazaridis School of Business and Economics
Dennis Olson, Zayed University Department of Accounting College of Business

ORCID Identifiers

0000-0001-5183-0184

Document Type

Article

Source of Publication

Energy

Publication Date

3-15-2021

Abstract

© 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.

DOI Link

10.1016/j.energy.2020.119594

ISSN

0360-5442

Publisher

Elsevier BV

Volume

219

First Page

119594

Disciplines

Business

Keywords

Asian countries, Asymmetry, Exchange rates, Nonlinear ARDL approach, Output

Scopus ID

85098123839

Recommended Citation

Nusair, Salah A. and Olson, Dennis, "Asymmetric oil price and Asian economies: A nonlinear ARDL approach" (2021). All Works. 604.
https://zuscholars.zu.ac.ae/works/604

Indexed in Scopus

yes

Open Access

no