The Dynamic Links between Oil Prices and Economic Growth: Recent Evidence from Nonlinear Cointegration Analysis for the ASEAN-5 Countries

Khalid Kisswani

Emerging Markets Finance and Trade, 2021, vol. 57, issue 11, 3153-3166

Abstract: This article investigates the asymmetric relationship between real oil prices and real GDP for selected ASEAN countries (ASEAN-5), using the nonlinear autoregressive distributed lag (NARDL) model. The sample data consist of annual frequencies from 1970 to 2015. Furthermore, the article pays attention to structural breaks in testing the asymmetric nexus. The empirical findings demonstrate long-run asymmetry for the ASEAN-5 countries, however, short-run asymmetry is found for Malaysia and Singapore only. Moreover, the empirical findings show that the increase in oil prices leads to positive effect on GDP for all countries (highly significant for all countries except for the Philippines), yet, such outcome does not go in line with the vast majority of the studies conducted. As for the direction of causality between oil prices and GDP, the article finds mixed results by using the Toda and Yamamoto noncausality test.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:mes:emfitr:v:57:y:2021:i:11:p:3153-3166

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DOI: 10.1080/1540496X.2019.1677463

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