Ali, Ariffhidayat and Masih, Mansur (2017): Relationship between oil price and gross fixed capital formation: Malaysian case.
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Abstract
The aim of this paper is to investigate the lead-lag relation between oil price and gross fixed capital formation in an economy incorporating some other relevant macroeconomic variables such as, money supply and exchange rate. The standard time series techniques are used for the analysis. Malaysia is taken as a case study. The variables are bound together by a theoretical relation as evidenced in their being cointegrated. The generalized variance decomposition analysis tends to indicate that oil price is the most exogenous variable leading all other variables including gross fixed capital formation. The findings contain strong policy implications for the emerging economies like Malaysia.
Item Type: | MPRA Paper |
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Original Title: | Relationship between oil price and gross fixed capital formation: Malaysian case |
English Title: | Relationship between oil price and gross fixed capital formation: Malaysian case |
Language: | English |
Keywords: | oil price, gross fixed capital formation, VECM, VDC, Malaysia |
Subjects: | C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets |
Item ID: | 110266 |
Depositing User: | Professor Mansur Masih |
Date Deposited: | 19 Oct 2021 15:42 |
Last Modified: | 19 Oct 2021 15:42 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/110266 |