1. THE IMPACT OF WORLD ENERGY PRICE VOLATILITY ON AGGREGATE ECONOMIC ACTIVITY IN DEVELOPING ASIAN ECONOMIES
- Author
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Gökhan Karabulut, Mehmet Huseyin Bilgin, Giray Gozgor, Doğuş Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, Ekonomi ve Finans Bölümü, TR31458, TR102360, TR175652, and Gözgör, Giray
- Subjects
Economics and Econometrics ,Volatility Models ,Realized variance ,Autoregressive conditional heteroskedasticity ,Developing asian economies, world energy price, volatility models, aggregate economic activity, panel data estimation techniques, Q43, C33, O53 ,Volatility risk premium ,Aggregate Economic Activity ,World Energy Price ,Economy ,Developing Asian Economies ,Volatility swap ,Asian country ,Economics ,Panel Data Estimation Techniques ,Volatility (finance) ,China ,Panel data - Abstract
Gözgör, Giray (Dogus Author) 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.
- Published
- 2015