OIL PRICE VOLATILITY AND THE SINGAPORE MACROECONOMY

Weiwen Ng ()
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Weiwen Ng: Singapore Management University, Singapore

The Singapore Economic Review (SER), 2012, vol. 57, issue 03, 1-26

Abstract: We construct a realized volatility measure, using prices of daily West Texas Intermediate (WTI) crude oil futures and illustrate the robustness of this oil price volatility–macroeconomy relationship under a multivariate co-integrated vector autoregressive (VAR) model. Empirical results suggest that a spike in oil price volatility leads to investments and aggregate output to decline and inflation to rise over the period from 1983Q2 to 2009Q2. Furthermore, the gradual decline of Singapore's oil intensity signals a weakening relationship between oil price and the macroeconomy that supports our empirical findings.

Keywords: Oil price volatility; Singapore macroeconomic performance; multivariate VAR; impulse response function; oil intensity; C32; E32; Q43 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1142/S0217590812500221

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