Impact of crude oil price shocks on industrial output, inflation and exchange rate: evidence from five emerging Asian economies
Shekhar Mishra; Naliniprava Tripathy; Sathya Swaroop Debasish
Afro-Asian J. of Finance and Accounting, Vol. 11, No. 2 (2021) pp. 290 - 308
The present study estimates the long-run relationship and impact of oil price shock on industrial production, inflation, and exchange rate of the selected fast-emerging Asian economies namely China, India, South Korea, Singapore and Japan. The study employs auto regressive distributed lag model, structural vector auto regression model, variance decomposition and impulse response function to examine the same. The ARDL model revealed the presence of cointegrating relationship between the macroeconomic variables of Asian economies and the global crude oil price. The impulse response function and variance decomposition analysis indicates the oil price fluctuations not having a significant impact on the given macroeconomic variables of the Asian economies taken under study. The study suggests that the Asian economies should implement policies to attract more FDI and promote the foreign sector. The governments should be more watchful while regulating the price level that may arise with a surge in oil price.
Author: Shekhar Mishra
The quantile dependence between global crude oil price and stock markets in emerging Asia: evidence from major oil consuming nations
The quantile dependence between global crude oil price and stock markets in emerging Asia: evidence from major oil consuming nations
Shekhar Mishra; Sathya Swaroop Debasish
Afro-Asian J. of Finance and Accounting, Vol. 9, No. 3 (2019) pp. 309 - 331
The paper examines the dependence between global crude oil price and stock indices in economies of fast emerging Asian nations, which are also termed to be major oil consumers. The paper employs quantile regression method (QRM) to analyse the relationship by using monthly data from April 2004 to April 2017. Since ordinary least squares (OLS) method estimates from data suffering from structural breaks, non-normality conditions and heterogeneous distribution may be biased and not much favourable, quantile regression method termed to a robust method is adopted to analyse the same. The analysis revealed the asymmetric effects of dependence between crude oil price and stock index returns. The observed positive relation between the given variables was quite contrary to the usual presumption of inverse relation relationship existing for the oil importing nations. The degree of significance for the positive dependence between the crude oil price and stock index returns also varied across the quantiles for economies under study.
The quantile dependence between global crude oil price and stock markets in emerging Asia: evidence from major oil consuming nations
The quantile dependence between global crude oil price and stock markets in emerging Asia: evidence from major oil consuming nations
Shekhar Mishra; Sathya Swaroop Debasish
Afro-Asian J. of Finance and Accounting, Vol. 9, No. 3 (2019) pp. 309 - 331
The paper examines the dependence between global crude oil price and stock indices in economies of fast emerging Asian nations, which are also termed to be major oil consumers. The paper employs quantile regression method (QRM) to analyse the relationship by using monthly data from April 2004 to April 2017. Since ordinary least squares (OLS) method estimates from data suffering from structural breaks, non-normality conditions and heterogeneous distribution may be biased and not much favourable, quantile regression method termed to a robust method is adopted to analyse the same. The analysis revealed the asymmetric effects of dependence between crude oil price and stock index returns. The observed positive relation between the given variables was quite contrary to the usual presumption of inverse relation relationship existing for the oil importing nations. The degree of significance for the positive dependence between the crude oil price and stock index returns also varied across the quantiles for economies under study.