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Do oil prices predict Indonesian macroeconomy?
Version 2 2023-12-19, 05:03Version 2 2023-12-19, 05:03
Version 1 2021-03-31, 05:38Version 1 2021-03-31, 05:38
journal contribution
posted on 2021-03-31, 05:38 authored by SS Sharma, Dinh PhanDinh Phan, B Iyke© 2019 Elsevier B.V. We examine, for the first time, whether oil price is a significant predictor of Indonesia's 31 macroeconomic variables. Our analysis employs monthly time-series data over the period 1986 to 2018, and a recently advanced flexible generalised least squares estimator that simultaneously addresses persistency, endogeneity, and heteroskedasticity in the data. We show that oil price significantly predicts eight macroeconomic variables. For the remaining 23 macroeconomic variables, we report either that oil price does not predict them or that their predictability is dependent on the choice of the forecasting horizon. Our results are robust to alternative measures of oil prices.
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Publication Date
2019-01-01Journal
Economic ModellingVolume
82Pagination
11p. (p. 2-12)Publisher
ElsevierISSN
0264-9993Rights Statement
The Author reserves all moral rights over the deposited text and must be credited if any re-use occurs. Documents deposited in OPAL are the Open Access versions of outputs published elsewhere. Changes resulting from the publishing process may therefore not be reflected in this document. The final published version may be obtained via the publisher’s DOI. Please note that additional copyright and access restrictions may apply to the published version.Publisher DOI
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