An investigation into the crude oil price pass-through to the macroeconomic activities of Malaysia

Alom, Fardous (2015) An investigation into the crude oil price pass-through to the macroeconomic activities of Malaysia. In: 2015 International Conference on Alternative Energy in Developing Countries and Emerging Economies (2015 AEDCEE), 28-29 May, 2015, Sheraton Grande Sukhumvit Hotel, Bangkok, Thailand.

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Abstract

This study examines the pass-through of crude oil prices into economic activities of Malaysia including industrial production index (IP), consumer price index (CPI), real effective exchange rate (REER), interest rate (IR) and stock price index (SPI) within the framework of hidden cointegration technique over the quarterly data ranging from 1987 to 2013. The estimated results suggest that positive and negative changes of IP, CPI, REER, IR and SPI do not maintain a long-run association with positive as well as negative changes of real crude oil prices excepting negative changes in IP. Negative changes in IP are found to be cointegrated with the positive changes of crude oil prices. Although Malaysia is considered as one of the net oil exporter country, the higher oil prices still dampen the industrial production in the long run; the findings is consistent with Ali Ahmed and Wadud (2011).

Item Type:	Conference or Workshop Item (Plenary Papers)
Additional Information:	7004/41519 Published in Energy Procedia, ISSN: 1876-6102. Vol 79 pg 542-548
Uncontrolled Keywords:	crude oil price, economic activities, hidden cointegration, Malaysia
Subjects:	H Social Sciences > HB Economic Theory > HB131 Methodology.Mathematical economics. Quantitative methods
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Kulliyyah of Economics and Management Sciences > Department of Economics
Depositing User:	Dr Md Fardous Alom
Date Deposited:	10 Aug 2015 09:09
Last Modified:	23 Sep 2017 15:05
URI:	http://irep.iium.edu.my/id/eprint/41519

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