Oil Price Shocks and Macroeconomic Activities in Asean-5 Countries: A Panel VAR Approach
The paper investigates the asymmetric effects of oil price shocks on real economic activities in ASEAN-5 from 1991 to 2014 using an unrestricted panel Vector Auto Regressive (VAR) method. Results from the impulse response function (IRFs) show evidence of an asymmetric relationship between oil prices and economic activities. Specifically, positive oil price shock measures negatively affect output growth both in the short term and in the long term. For oil price decrease specifications, real output responds negatively in the short term before recovering to its pre-shock level in the long term. The variance decomposition analysis (VDCs) also exhibit differences between the effects of positive and negative oil price shocks on economic activities, supporting the evidence of asymmetric relationship obtain in the IRFs simulations.