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Permanent and transitory oil volatility and aggregate investment in Malaysia

机译：马来西亚的永久性和暂时性石油波动以及总投资

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摘要

This paper investigates the relation between aggregate investment and oil volatility and its permanent and transitory components for a developing country, Malaysia. In the paper, the components generalized autoregressive conditional heteroskedasticity (CGARCH) model is utilized to decompose conditional oil volatility into permanent oil volatility and transitory oil volatility. Respectively reflecting fundamental-driven and random shifts in oil volatility, they are expected to exert differential effects on aggregate investment. Adopting a vector autoregression (VAR) framework to allow feedback effects between aggregate investment and its determinants, the paper documents evidence supporting the adverse effects of conditional oil volatility, permanent oil volatility and transitory oil volatility on aggregate investment and real output. Interestingly, contrary to the findings for the developed markets (US and OECD), the real effects of permanent oil volatility tend to be stronger. These findings are reasonably robust to variable specification and measurements in the VAR system. Hence, there is an indication that heightened oil volatility accounts for the slumps in Malaysia's aggregate investment after the Asian financial crisis.
机译：本文研究了发展中国家马来西亚的总投资与石油波动性及其永久性和暂时性成分之间的关​​系。该文利用分量广义自回归条件异方差模型（CGARCH），将条件油价波动分解为永久性油价波动和暂时性油价波动。预期它们分别反映了基本面驱动的和石油波动的随机变化，它们将对总投资产生不同的影响。本文采用向量自回归（VAR）框架，以允许总投资与其决定因素之间产生反馈效应，该文件记录了有条件的石油波动率，永久性石油波动性和暂时性石油波动性对总投资和实际产出的不利影响的证据。有趣的是，与发达市场（美国和经合组织）的发现相反，永久性石油波动的实际影响趋于增强。这些发现对于VAR系统中的可变规格和测量具有相当强的鲁棒性。因此，有迹象表明，亚洲金融危机之后，石油波动加剧是马来西亚总投资下降的原因。

著录项

  • 来源
    《Energy Policy》 |2014年第4期|552-563|共12页
  • 作者

    Mansor H. Ibrahim; Huson Joher Ali Ahmed;

  • 作者单位

    International Centro for Education in Islamic Finance (INCEIF), Lorong Universiti A, 59100 Kuala Lumpur, Malaysia;

    School of Accounting, Economics and Finance, Deakin University, Victoria, Australia;

  • 收录信息 美国《科学引文索引》(SCI);美国《工程索引》(EI);
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

    Oil volatility; Aggregate investment; Malaysia;

    机译：油品挥发性;总投资;马来西亚;

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