Impact of Oil Price Volatility on Oil Importing and Exporting Countries: A Case of Asian Countries

Abstract

The study meticulously examined oil price volatility across 16 Asian countries using a VAR model, analyzing data sourced from the World Bank spanning 1980 to 2020. Notably, the dataset exhibited non-normal distribution, showcasing varied skewness in variables and indicating stationarity in specific factors for both oil exporting and importing nations. An optimal lag of 2 was determined for both groups, affirming the existence of long-term relationships. Macroeconomic variables such as investment, Consumer Price Index (CPI), and exchange rates manifested divergent impacts on oil volatility, showcasing distinctive effects within each country. For instance, in oil exporting countries, these factors demonstrated a positive and statistically significant influence, whereas in oil importing countries, CPI and exchange rates portrayed a negative correlation. The comprehensive analysis revealed consistent patterns across the studied periods, showcasing significant and predominantly positive effects on oil volatility across various timeframes and country types. This robust finding emphasizes the substantial influence of independent macroeconomic variables on oil volatility within a 40-year period. These insights underscore the complexities and variations in the relationship between macroeconomic factors and oil price fluctuations within the Asian context. References Abdulghaffar, M., Al-Ubaydli, O., & Mahmood, O. (2013). The malfunctioning of the Gulf Cooperation Council single market: Features, causes and remedies. Middle Eastern Finance and Economics, 19, 54–67. Adkins, L. C., Campbell, R. C., Chmelarova, V., & Hill, R. C. (2012). The Hausman test, and some alternatives, with heteroskedastic data. In Advances in econometrics (Vol. 29, pp. 515–546). Emerald Group Publishing Limited. Alekhina, V., & Yoshino, N. (2018). 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