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THE IMPACT OF WORLD ENERGY PRICE VOLATILITY ON AGGREGATE ECONOMIC ACTIVITY IN DEVELOPING ASIAN ECONOMIES

Mehmet Bilgin (), Giray Gözgör () and Gokhan Karabulut

The Singapore Economic Review (SER), 2015, vol. 60, issue 01, 1-20

Abstract: This paper analyzes the impact of volatility in the world energy price on aggregate economic activity in an unbalanced panel data framework for 10 developing Asian countries: Bangladesh, PR China, India, Indonesia, Malaysia, Pakistan, the Philippines, Thailand, Turkey and Vietnam. We use both the realized volatility and the generalized autoregressive conditional heteroskedasticity models to measure the volatility in the world energy price. Empirical findings from dynamic panel data estimations show that the volatility in world energy price is negatively associated with the aggregate economic activity. Using the common correlated effects panel estimation techniques, we also systematically examine uncertain transmission channel of the world energy price volatility on the aggregate economic activity in each economy and obtain the most impressive negative effects in Turkey, PR China and India, respectively.

Keywords: Developing asian economies; world energy price; volatility models; aggregate economic activity; panel data estimation techniques; Q43; C33; O53 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1142/S0217590815500095

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