Time-varying spillover effect among oil price and macroeconomic variables
© Springer Nature Switzerland AG 2019. A purpose of this study is to examine a dynamic relationship between oil price and macroeconomic variables namely consumer price index, interest rate, effective exchange rate, and broad money (M3). The rising prices of oil could affect producer’s cost and, in t...
Saved in:
Main Authors: | , , , |
---|---|
Format: | Book Series |
Published: |
2019
|
Subjects: | |
Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85065610360&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/65531 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Institution: | Chiang Mai University |
id |
th-cmuir.6653943832-65531 |
---|---|
record_format |
dspace |
spelling |
th-cmuir.6653943832-655312019-08-05T04:35:04Z Time-varying spillover effect among oil price and macroeconomic variables Worrawat Saijai Woraphon Yamaka Paravee Maneejuk Songsak Sriboonchitta Computer Science © Springer Nature Switzerland AG 2019. A purpose of this study is to examine a dynamic relationship between oil price and macroeconomic variables namely consumer price index, interest rate, effective exchange rate, and broad money (M3). The rising prices of oil could affect producer’s cost and, in turn, lead to rising average prices of all goods by theory. This situation is called inflation which can be observed from an increase in some macroeconomic indicators such as consumer price index. However, as the oil price are changing over time due to political and economic situations, the relationship between macroeconomic indicators should have more dynamic property. Therefore, this study employed the time-varying VAR model to examine this non-constant relationship. The estimated results show that the effect of oil price on some variables are time-varying while the other variable is constantly affected by the oil price. 2019-08-05T04:35:04Z 2019-08-05T04:35:04Z 2019-01-01 Book Series 1860949X 2-s2.0-85065610360 10.1007/978-3-030-04200-4_82 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85065610360&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/65531 |
institution |
Chiang Mai University |
building |
Chiang Mai University Library |
country |
Thailand |
collection |
CMU Intellectual Repository |
topic |
Computer Science |
spellingShingle |
Computer Science Worrawat Saijai Woraphon Yamaka Paravee Maneejuk Songsak Sriboonchitta Time-varying spillover effect among oil price and macroeconomic variables |
description |
© Springer Nature Switzerland AG 2019. A purpose of this study is to examine a dynamic relationship between oil price and macroeconomic variables namely consumer price index, interest rate, effective exchange rate, and broad money (M3). The rising prices of oil could affect producer’s cost and, in turn, lead to rising average prices of all goods by theory. This situation is called inflation which can be observed from an increase in some macroeconomic indicators such as consumer price index. However, as the oil price are changing over time due to political and economic situations, the relationship between macroeconomic indicators should have more dynamic property. Therefore, this study employed the time-varying VAR model to examine this non-constant relationship. The estimated results show that the effect of oil price on some variables are time-varying while the other variable is constantly affected by the oil price. |
format |
Book Series |
author |
Worrawat Saijai Woraphon Yamaka Paravee Maneejuk Songsak Sriboonchitta |
author_facet |
Worrawat Saijai Woraphon Yamaka Paravee Maneejuk Songsak Sriboonchitta |
author_sort |
Worrawat Saijai |
title |
Time-varying spillover effect among oil price and macroeconomic variables |
title_short |
Time-varying spillover effect among oil price and macroeconomic variables |
title_full |
Time-varying spillover effect among oil price and macroeconomic variables |
title_fullStr |
Time-varying spillover effect among oil price and macroeconomic variables |
title_full_unstemmed |
Time-varying spillover effect among oil price and macroeconomic variables |
title_sort |
time-varying spillover effect among oil price and macroeconomic variables |
publishDate |
2019 |
url |
https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85065610360&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/65531 |
_version_ |
1681426286272053248 |