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- Publisher
- World Scientific Publishing Company
- Copyright
- Copyright ©
- Subject
- Energy
- ISSN
- 0217-5908
- eISSN
- 1793-6837
- DOI
- 10.1142/S0217590815500095
- Publisher site
- See Article on Publisher Site
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.
Journal
The Singapore Economic Review – World Scientific Publishing Company
Published: Mar 1, 2015
Keywords: Developing asian economies world energy price volatility models aggregate economic activity panel data estimation techniques