Do oil prices predict Indonesian macroeconomy?

Susan Sunila Sharma, Dinh Phan (dinh.phan@latrobe.edu.au) and Bernard Iyke

Economic Modelling, 2019, vol. 82, issue C, 2-12

Abstract: We examine, for the first time, whether oil price is a significant predictor of Indonesia’s 31 macroeconomic variables. Our analysis employs monthly time-series data over the period 1986 to 2018, and a recently advanced flexible generalised least squares estimator that simultaneously addresses persistency, endogeneity, and heteroskedasticity in the data. We show that oil price significantly predicts eight macroeconomic variables. For the remaining 23 macroeconomic variables, we report either that oil price does not predict them or that their predictability is dependent on the choice of the forecasting horizon. Our results are robust to alternative measures of oil prices.

Keywords: Oil prices; Macroeconomic; Time-series; Predictability; Indonesia (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999319312283
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:82:y:2019:i:c:p:2-12

DOI: 10.1016/j.econmod.2019.08.008

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).