Asymmetric effects of oil price shocks on Asian economies: a nonlinear analysis

Muhammad Arshad Khan, Muhammad Iftikhar Ul Husnain, Qaisar Abbas, Syed Zulfiqar Ali Shah

Research output: Contribution to journalArticlepeer-review

7 Citations (Scopus)

Abstract

This study examines the impact of asymmetric oil price shocks on economic activity in selected 13 Asian economies, namely Bangladesh, China, Hong Kong, India, Indonesia, Japan, South Korea, Malaysia, Pakistan, the Philippines, Singapore, Sri Lanka and Thailand by employing nonlinear autoregressive distributed lag approach over the period 1980Q1–2014Q2. Our results provide no evidence of a long-run relationship between positive and negative oil price changes and economic activity in Bangladesh, China, India, Pakistan, the Philippines, Singapore, Sri Lanka and Thailand. In the short run, real GDP responds symmetrically to positive and negative oil price changes in China, South Korea, Malaysia, Pakistan, the Philippines, Singapore, Sri Lanka and Thailand, while it behaves asymmetrically to oil price shocks in Bangladesh, Hong Kong, India, Indonesia and Japan. However, no long-run asymmetry in oil price changes and economic activity was detected in all the countries. The impulse response analysis reveals that oil price shocks have limited asymmetric effects on GDP growth in Bangladesh, Indonesia, Japan, Malaysia, Pakistan and Singapore, while oil price shocks have symmetric impact on the GDP growth in India, South Korea, the Philippines, Sri Lanka and Thailand. It is also observed that the impact of oil price shocks is relatively higher in Bangladesh, China, Indonesia, Malaysia and Pakistan than Hong Kong, Japan, South Korea and Singapore. In case of India, the Philippines, Sri Lanka and Thailand, the impact of oil price shocks is similar to that of Hong Kong, Japan, South Korea and Singapore.

Original languageEnglish
Pages (from-to)1319-1350
Number of pages32
JournalEmpirical Economics
Volume57
Issue number4
Early online date13 Jun 2018
DOIs
Publication statusPublished - 1 Oct 2019
Externally publishedYes

Fingerprint

Dive into the research topics of 'Asymmetric effects of oil price shocks on Asian economies: a nonlinear analysis'. Together they form a unique fingerprint.

Cite this