scholarly journals CRUDE OIL PRICE AND EXCHANGE RATE: AN ANALYSIS OF THE ASYMMETRIC EFFECT AND VOLATILITY USING THE NON LINEAR AUTOREGRESSIVE DISTRIBUTED LAG AND GENERAL AUTOREGRESSIVE CONDITIONAL HETEROCHEDASTICITY IN MEAN MODELS

2020 ◽  
Vol 10 (1) ◽  
pp. 104-108
Author(s):  
La Ode Saidi ◽  
Hasan Aedy ◽  
Fajar Saranani ◽  
Rosnawintang Rosnawintang ◽  
Pasrun Adam ◽  
...  
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Oil Price ◽  
Asymmetric Effect ◽  
Crude Oil Price ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Non Linear

scholarly journals Impact of Crude Oil Price Changes on Household Consumption Expenditure in Oman (1990-2016)

2019 ◽  
Vol 4 (2) ◽  
pp. 97-104
Author(s):  
Abubakar El-Sidig A.A Mahdi
Keyword(s):  
Crude Oil ◽  
Household Consumption ◽  
Oil Price ◽  
Consumption Expenditure ◽  
Crude Oil Price ◽  
Price Changes ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Bound Test

Objective – The preceding three years (2014, 2015, and 2016) saw a drop in the price of oil which has impacted all parts of Omani macroeconomic life. This study aims to identify the association between oil price changes and aggregate household consumption expenditure in the Sultanate by analyzing the long term relationship between the variables of interest. Methodology/Technique – The (ARDL) Autoregressive Distributed Lag bound test of co-integration is used with 27 annual observations obtained between 1990 and 2016. Findings – The statistical results show that there is a long term, positive relationship between the two variables. Novelty – As Oman is heavily dependent on oil, any fluctuation in the price of oil will undoubtedly cause instability in the economy (macroeconomic variables) demonstrating the presence of a robust correlation between consumption and oil prices. The bound test of the ARDL approach demonstrates this relationship. This study is therefore useful for Muscat officials to identify ways to reduce the dependency on oil. Type of Paper: Empirical Keywords: Total Household Consumption Expenditure; Crude Oil Price; Autoregressive Distributed Lag (ARDL); Omani Economy. Reference to this paper should be made as follows: Abubakar El-Sidig A.A Mahdi. 2019. Impact of Crude Oil Price Changes on Household Consumption Expenditure in Oman (1990-2016), J. Bus. Econ. Review 4 (2): 97 – 104. https://doi.org/10.35609/jber.2019.4.2(4) JEL Classification: D1, D13, D19, E30.

scholarly journals ASYMMETRIC EFFECT OF CRUDE OIL AND PALM OIL PRICES ON ECONOMIC GROWTH: EVIDENCE FROM INDONESIA

2020 ◽  
Vol 23 (2) ◽  
pp. 253-268
Author(s):  
KP Prabheesh ◽  
Nisful Laila
Keyword(s):  
Economic Growth ◽  
Crude Oil ◽  
Palm Oil ◽  
Oil Prices ◽  
Asymmetric Effect ◽  
Linear Effect ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Non Linear ◽  
The Impact

This paper empirically examines the impact of the price of crude oil petrol and palm oil on Indonesia's economic growth. Using quarterly data from 2000 to 2019 and linear, and non-linear autoregressive distributed lag (ARDL) model to cointegration, the study finds 1) A significant non-linear effect of oil prices on country's output. 2) The palm oil price changes have a higher effect on the country's output as compared to petroleum prices. 3) A decline in palm price in the international market leads to a higher adverse effect on the country's economic growth as compared to petroleum prices.

scholarly journals Pengaruh Sistem Perbankan, Makroekonomi, Dinamika Pasar Keuangan terhadap Perkembangan Sukuk Korporasi

2020 ◽  
Vol 4 (2) ◽  
Author(s):  
Alyta Shabrina Zusryn ◽  
Rizqi Umar Al Hashfi ◽  
Ananta Hagabean Nasution
Keyword(s):  
Time Series ◽  
Interest Rate ◽  
Crude Oil ◽  
Oil Price ◽  
Crude Oil Price ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Interest Rate Spread

Tujuan pada penelitian ini adalah untuk mengetahui faktor-faktor yang berpengaruh terhadap perkembangan sukuk korporasi di Indonesia. Data yang digunakan adalah data bulanan tahun 2013-2016 variabel makroekonomi, crude oil price, kredit perbankan konvensional, interest rate spread, aset perbankan syariah, outstanding obligasi korporasi indonesia, nilai kapitalisasi pasar saham syariah, dan standar deviasi Jakarta Interbank Offered Rate (JIBOR). Pada penelitian ini menggunakan analisis data time series yaitu Autoregressive Distributed Lag (ARDL) yang merupakan pengembangan dan melengkapi kelemahan dari analisis Vector Autoregresive (VAR). Penelitian ini menunjukkan bahwa terdapat pengaruh positif harga minyak mentah dunia, perkembangan obligasi korporasi, dan aset perbankan syariah terhadap perkembangan sukuk korporasi. Selain itu, kapitalisasi pasar saham syariah, interest rate spread, dan volatilitas suku bunga pasar berdampak negatif terhadap perkembangan sukuk korporasi. Hasil tersebut menunjukkan adanya peningkatan permintaan dan penawaran pada sukuk korporasi di Indonesia. Penelitian ini menemukan adanya hubungan komplementer pada obligasi korporasi dan perbankan syariah pada perkembangan sukuk korporasi sehingga diharapkan adanya sinergi dan koordinasi para pemangku kepentingan yaitu pemerintah, pelaku industri, perusahaan dan pihak-pihak terkait

scholarly journals Do Crude Oil Price Changes Affect Economic Welfare? Empirical Evidence from Ghana

2020 ◽  
Vol 20 (1) ◽  
pp. 51-58
Author(s):  
K. Kamasa
Keyword(s):  
Crude Oil ◽  
Oil Price ◽  
Series Data ◽  
Economic Welfare ◽  
Crude Oil Price ◽  
Price Changes ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
The Impact

Abstract This paper sought to explore the impact of crude oil price changes on economic welfare in Ghana. The paper employed the Autoregressive distributed lag (ARDL) estimation technique on an annual time series data spanning 1983 – 2017. The findings revealed that crude oil price changes have a negative and significant impact on economic welfare in the short and long run, albeit marginal. In terms of covariates, the findings revealed that trade openness and gross fixed capital formation have positive and significant impact whilst interest rate have negative impact on economic welfare in both the short and long run. Foreign direct investment had a positive effect, albeit insignificant. The paper recommends among others, the hedging of prices with respect to imported crude oil so as to manage the risks associated with crude oil price changes on economic welfare.   Keywords: Economic Welfare; Crude Oil Prices Changes; Autoregressive Distributed Lag; Ghana

Impacts of Falling Crude Oil Prices and Reduction of Energy Subsidies on the Indian Economy: A CGE Modelling Approach

2016 ◽  
Vol 20 (4) ◽  
pp. 345-360
Author(s):  
Amrita Ganguly ◽  
Koushik Das
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Oil Price ◽  
Cash Transfer ◽  
Crude Oil Price ◽  
Transfer Scheme ◽  
Indian Economy ◽  
Cge Modelling ◽  
The Impact ◽  
Energy Subsidy

This study analyzes the impacts of international crude oil fluctuations and energy subsidy (on LPG, petrol and diesel) removals on Indian economy. We have applied computable general equilibrium (CGE) modelling as our relevant methodology, following Shoven and Whalley ( J Econ Lit XXII: 1007–1051, 1984) based on energy social accounting matrix (ESAM) of India for the year 2007–2008. It is seen that the international crude oil price fluctuations has a greater effect in determining gross domestic product (GDP) and exchange rate as compared to the effect of energy subsidy removal. With decrease in international crude oil price, GDP increases and exchange rate appreciates. On the other hand, with decrease in energy subsidy, GDP decreases and exchange rate appreciates. Moreover, with introduction of direct cash transfer scheme in lieu of subsidy for LPG, it is seen that the impact on demand of LPG (substitution effect) is negligible indicating that LPG is an essential commodity.

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