Title: Impact of crude oil price shocks on industrial output, inflation and exchange rate: evidence from five emerging Asian economies

Authors: Shekhar Mishra; Naliniprava Tripathy; Sathya Swaroop Debasish

Addresses: Department of Business Management, C.V. Raman Global University, Bhubaneswar, Odisha 752054, India ' Indian Institute of Management Shillong, Meghalaya 793014, India ' Department of Business Administration, Utkal University, Bhubaneswar, Odisha 751004, India

Abstract: The present study estimates the long-run relationship and impact of oil price shock on industrial production, inflation, and exchange rate of the selected fast-emerging Asian economies namely China, India, South Korea, Singapore and Japan. The study employs auto regressive distributed lag model, structural vector auto regression model, variance decomposition and impulse response function to examine the same. The ARDL model revealed the presence of cointegrating relationship between the macroeconomic variables of Asian economies and the global crude oil price. The impulse response function and variance decomposition analysis indicates the oil price fluctuations not having a significant impact on the given macroeconomic variables of the Asian economies taken under study. The study suggests that the Asian economies should implement policies to attract more FDI and promote the foreign sector. The governments should be more watchful while regulating the price level that may arise with a surge in oil price.

Keywords: crude oil price; ARDL; structural vector auto regression; SVAR; impulse response function; IRF; variance decomposition.

DOI: 10.1504/AAJFA.2021.113557

Afro-Asian Journal of Finance and Accounting, 2021 Vol.11 No.2, pp.290 - 308

Received: 23 Jan 2019
Accepted: 13 Jan 2020
Published online: 11 Mar 2021 *

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