Crude oil prices and macroeconomic activities: a structural VAR approach to Indonesia

References

• Akram, Q. F. 2004. “Oil Prices and Exchange Rates: Norwegian Evidence.” The Econometrics Journal 7 (2): 476–504. doi:10.1111/j.1368-423X.2004.00140.x.
   Google Scholar
• Allegret, J. P., V. Mignon, and A. Sallenave. 2015. “Oil Price Shocks and Global Imbalances: Lessons from a Model with Trade and Financial Interdependencies.” Economic Modelling 49: 232–247.
   Web of Science ®Google Scholar
• Alvarez, L. J., S. Hurtado, I. Sanchez, and C. Thomas. 2011. “The Impact of Oil Price Changes on Spanish and Euro Area Consumer Price Inflation.” Economic Modelling 28 (1–2): 422–431. doi:10.1016/j.econmod.2010.08.006.
   Web of Science ®Google Scholar
• Amano, R. A., and S. Van Norden. 1998. “Oil prices and the rise and fall of the US real exchange rate.” Journal of International Money and Finance 17: 299–316.
   Google Scholar
• Baek, J., M. J. Ikponmwosa, and Y. J. Choi. 2019. “Crude Oil Prices and the Balance of Trade: Asymmetric Evidence from Selected OPEC Member Countries.” Journal of International Trade & Economic Development 28 (5): 533–547.
   Web of Science ®Google Scholar
• Barsky, R., and L. Kilian. 2004. “Oil and the Macroeconomy since the 1970s.” Journal of Economic Perspective 18 (4): 115–134.
   Web of Science ®Google Scholar
• Basnet, H. C., and K. P. Upadhyaya. 2015. “Impact of Oil Price Shocks on Output, Inflation, and the Real Exchange Rate: Evidence from Selected ASEAN Countries.” Applied Economics 47 (29): 3078–3091.
   Web of Science ®Google Scholar
• Beckmann, J., and R. Czudaj. 2013. “Oil Prices and Effective Dollar Exchange Rate.” International Review of Economics & Finance 27 (1): 621–636.
   Web of Science ®Google Scholar
• Benassy-Quere, A., V. Mignon, and A. Penot. 2007. “China and the Relationship between the Oil Price and the Dollar.” Energy Policy 35 (11): 5795–5805.
   Web of Science ®Google Scholar
• Benhmad, F. 2012. “Modeling Nonlinear Granger Causality between the Oil Price and U.S. Dollar: A Wavelet-based Approach.” Economic Modelling 29 (4): 1505–1514.
   Web of Science ®Google Scholar
• Burbidge, J., and A. Harrison. 1984. “Testing for the Effect of Oil Price Rise Using Vector Autoregressive.” International Economic Review 24: 459–484.
   Web of Science ®Google Scholar
• Chaudhuri, K., and B. C. Daniel. 1998. “Long-run Equilibrium Real Exchange Rates and Oil Prices.” Economics Letters 58: 231–238.
   Web of Science ®Google Scholar
• Chen, S. S. 2009. “Oil Price Pass-through into Inflation.” Energy Economics 31: 126–133.
   Web of Science ®Google Scholar
• Chinn, M. 2000. “The Usual Suspect? Productivity and Demand Shocks and Asia-Pacific Real Exchange Rates.” Review of International Economics 8 (1): 20–43.
   Google Scholar
• Christiano, L., M. Eichenbaum, and R. Vigfusson. 2006. “Assessing Structural VARS.” Working Paper 12353. National Bureau of Economic Research.
   Google Scholar
• Cologni, A., and M. Manera. 2008. “Oil Prices, Inflation, and Interest Rates in a Structural Cointegrated VAR Model for the G-7 Countries.” Energy Economics 30: 856–888.
   Web of Science ®Google Scholar
• Cross, J., and B. H. Nguyen. 2017. “The Relationship between Global Oil Price Shocks and China’s Output: A Time-varying Analysis.” Energy Economics 62: 79–91.
   Web of Science ®Google Scholar
• Cunado, J., and F. P. de Gracia. 2003. “Do Oil Price Shocks Matter? Evidence for Some European Countries.” Energy Economics 25: 137–154.
   Web of Science ®Google Scholar
• Darby, M. R. 1982. “The Price of Oil and World Inflation and Recession.” The American Economic Review 72 (4): 738–751.
   Web of Science ®Google Scholar
• De Gregorio, J. D., O. Landerretche, C. Neilson, C. Broda, and R. Rigobon. 2007. “Another Pass-through Bites the Dust? Oil Prices and Inflation.” Economia 7 (2): 155–208.
   Google Scholar
• Escobar, S. G., G. H. Del Valle, and M. H. Vega. 2019. “Do Heterogeneous Countries Respond Differently to Oil Price Shocks?” Journal of Commodity Markets 16: 100084.
   Web of Science ®Google Scholar
• Herrrera, A. M., M. B. Karaki, and S. K. Rangaraju. 2019. “Oil Price Shocks and U.S. Economic Activity.” Energy Policy 129: 89–99.
   Web of Science ®Google Scholar
• Hooker, M. A. 1996. “What Happened to the Oil Price-macroeconomy Relationship?” Journal of Monetary Economics 38 (2): 195–213.
   Web of Science ®Google Scholar
• Hooker, M. A. 2002. “Are Oil Shocks Inflationary? Asymmetric and Nonlinear Specifications versus Changes in Regime.” Journal of Money, Credit, and Banking 34 (2): 540–561.
   Web of Science ®Google Scholar
• Huang, B. B., M. J. Hwang, and H. P. Peng. 2005. “The Asymmetry of the Impact of Oil Price Shocks on Economic Activities: An Application of the Multivariate Threshold Model.” Energy Economics 27 (3): 455–476.
   Web of Science ®Google Scholar
• Jahangard, E., A. Daneshmand, and M. Tekieh. 2017. “Oil Prices and the Real Exchange Rate in Iran: An ARDL Bounds Testing Approach.” Applied Economics Letters 24 (15): 1051–1056.
   Web of Science ®Google Scholar
• Jimenez-Rodriguez, R., and M. Sanchez. 2005. “Oil Price Shocks and Real GDP Growth: Empirical Evidence for Some OECD Countries.” Applied Economics 37 (2): 201–228.
   Web of Science ®Google Scholar
• Kilian, L., and R. J. Vigfusson. 2011. “Are the Responses of the U.S. Economy Asymmetric in Energy Price Increases and Decreases?” Quantitative Economics 2: 419–453.
   Web of Science ®Google Scholar
• Killian, L. 2008. “A Comparison of the Effects of Exogenous Oil Supply Shocks on Output and Inflation in theG7countries.” Journal of the European Economic Association 6 (1): 78–121.
   Web of Science ®Google Scholar
• Killian, L., A. Rubucci, and N. Spatafora. 2009. “Oil Shocks and External Balances.” Journal of International Economics 77 (2): 181–194.
   Web of Science ®Google Scholar
• Kisswani, K. M. 2016. “Does Oil Price Variability Affect ASEAN Exchange Rates? Evidence from Panel Cointegration Test.” Applied Economics 48 (20): 1831–1839.
   Web of Science ®Google Scholar
• Krugman, P. 1983. “Oil and the Dollar.” In Economic Interdependence and Flexible Exchange Rates, edited by B. Jagdeeps and P. Bulfordh, 179–190. Cambridge: MIT Press.
   Google Scholar
• Lardic, S., and V. Mignon. 2006. “The Impact of Oil Prices on GDP in European Countries: An Empirical Investigation Based on Asymmetric Cointegration.” Energy Policy 34: 3910–3915.
   Web of Science ®Google Scholar
• Le, T. H., and Y. Chang. 2013. “Oil Price Shocks and Trade Imbalances.” Energy Economics 36: 78–96.
   Web of Science ®Google Scholar
• LeBlanc, M., and M. D. Chinn. 2004. “Do High Oil Prices Presage Inflation? The Evidence from G-5 Countries.” SSCIE Working Paper #04-4. Santa Cruz Center for International Economics.
   Google Scholar
• Lee, K., S. Ni, and R. A. Ratti. 1995. “Oil Shocks and the Macroeconomy: The Role of Price Variability.” The Energy Journal 16 (4): 39–56.
   Web of Science ®Google Scholar
• Mandal, K., I. Bhattacharyya, and B. B. Bhoi. 2012. “Is the Oil Price Pass-through in India Any Different?” Journal of Policy Modeling 34: 832–848.
   Web of Science ®Google Scholar
• Misati, R. N., E. M. Naymongo, and I. Mwangi. 2013. “Commodity Price Shocks and Inflation in a Net-importing Economy.” OPEC Energy Review 37 (2): 125–148.
   Google Scholar
• Mohammadi, H., and M. R. Jahan-Parvar. 2012. “Oil Prices and Exchange Rates in Oil-exporting Countries: Evidence from TAR and M-TAR Models.” Journal of Economics and Finance 36: 766–779.
   Google Scholar
• Mork, K. A., O. Olson, and H. T. Mysen. 1994. “Macroeconomic Responses to Oil Price Increases and Decreases in Seven OECD Countries.” The Energy Journal 15 (4): 19–35.
   Web of Science ®Google Scholar
• Narayan, P. K., S. Sharma, W. C. Poon, and J. Westerlund. 2014. “Do Oil Prices Predict Economic Growth? New Global Evidence.” Energy Economics 41: 137–146.
   Web of Science ®Google Scholar
• Rafiq, S., P. Sgro, and N. Apergis. 2016. “Asymmetric Oil Shocks and External Balances of Major Oil-exporting and Importing Countries.” Energy Economics 56: 42–50.
   Web of Science ®Google Scholar
• Rahman, S., and A. Serletis. 2012. “Oil Price Uncertainty and the Canadian Economy: Evidence from a VARM, GARCH-in-Mean, Asymmetric BEKK Model.” Energy Economics 34: 603–610.
   Web of Science ®Google Scholar
• Rautava, J. 2004. “The Role of Oil Prices and the Real Exchange Rate in Russia’s Economy – A Cointegration Approach.” Journal of Comparative Economics 32 (2): 315–327.
   Web of Science ®Google Scholar
• Reboredo, J. 2012. “Modeling Oil Price and Exchange Rate Co-movements.” Journal of Policy Modeling 34 (3): 419–440.
   Web of Science ®Google Scholar
• Salisu, A. A., K. O. Isah, O. J. Oyewole, and L. O. Akanni. 2017. “Modeling Oil Price-inflation Nexus: The Role of Asymmetries.” Energy 125: 97–106.
   Web of Science ®Google Scholar
• Sultonov, M. 2017. “The Impacts of the Oil Price Fall on the Exchange Rates of ASEAN-5: Evidence from the 2014 Oil Price Shock.” Economics Bulletin 37 (1): 468–479.
   Web of Science ®Google Scholar
• Tiwari, A. K., A. B. Dar, and N. Bhanja. 2013. “Oil Price and Exchange Rates: A Wavelet-based Analysis for India.” Economic Modelling 31: 414–422.
   Web of Science ®Google Scholar
• Zhang, D. 2008. “Oil Shock and Economic Growth in Japan: A Nonlinear Approach.” Energy Economics 30: 2374–2390.
   Web of Science ®Google Scholar
• Zhang, Y. J., Y. Fan, H. T. Tsai, and Y. M. Wei. 2008. “Spillover Effect of US Dollar Exchange Rate on Oil Prices.” Journal of Policy Modeling 30 (6): 973–991.
   Web of Science ®Google Scholar