Responses of macroeconomy and stock markets to structural oil price shocks: New evidence from Asian oil refinery
Hong Thai Le (htle@bournemouth.ac.uk) and
Marta Disegna
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Hong Thai Le: Department of Accounting, Finance and Economics, Bournemouth University
Marta Disegna: Department of Accounting, Finance and Economics, Bournemouth University
No BAFES25, BAFES Working Papers from Department of Accounting, Finance & Economic, Bournemouth University
Abstract:
In extensive oil-related literature, less attention has been paid to Asia and particularly little evidence is known for oil-refining countries. This paper examines how the economy of an oil-refining country reacts to an oil price shock and performs cross-country comparisons with oil-exporting and oil-importing countries. Singapore (oil refiner), Japan (oil importer), and Malaysia (oil exporter) have been analysed through a SVAR model using both macroeconomic and financial variables. Results show limited reactions of both macroeconomic indicators and stock returns to an oil supply shock and an oil aggregate demand shock negatively impacts economic activities. Our findings reveal that the country’s status in the oil market matters is important when an oil specific demand shock is analysed. Our findings inform policymakers of the effectiveness of using monetary policy tools such as interest rate and exchange rate to mitigate the adverse effects of an oil price shock.
Keywords: oil price; oil refining; stock return; SVAR; Asian economies (search for similar items in EconPapers)
JEL-codes: C58 E31 G10 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2018-08
New Economics Papers: this item is included in nep-ene, nep-mac and nep-sea
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