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Relationship Between Crude Oil prices and Macro-economic Variables: Evidence from BRICS Countries

Author

Listed:
  • Guntur Anjana Raju

    (Professor and Programme Director for Doctor of Philosophy (Commerce), Goa Business School, Goa University, Goa, India,)

  • Shripad Ramchandra Marathe

    (Research Scholar (Goa Business School) and Assistant Professor, Swami Vivekanand Vidyaprasarak Mandal s College of Commerce, Bori-Ponda, Goa, India.)

Abstract

The article analyses the relationship between Crude oil Prices and Macro-economic variables in BRICS countries using Quarterly data from March 31, 1999 to December 31, 2019 and an Autoregressive Distributed lag model has been developed to study the long term relationship between Crude oil and Macro-economic variable. The study found out that the long term relationship exists between the variables. We have also identified that all the countries react differently to the fluctuations in Oil prices. But interestingly China and India share some commonalities in terms of reacting to the changes in Crude Oil prices. Additionaly we have also found that fluctuations in the Oil price effect Trade Openness in every country under study except Russia.

Suggested Citation

  • Guntur Anjana Raju & Shripad Ramchandra Marathe, 2020. "Relationship Between Crude Oil prices and Macro-economic Variables: Evidence from BRICS Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 10(5), pages 264-271.
    • Handle: RePEc:eco:journ2:2020-05-31
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    References listed on IDEAS

    as
    1. Hem C. Basnet & Kamal P. Upadhyaya, 2015. "Impact of oil price shocks on output, inflation and the real exchange rate: evidence from selected ASEAN countries," Applied Economics, Taylor & Francis Journals, vol. 47(29), pages 3078-3091, June.
    2. Javed Ahmad Bhat & Aadil Ahmad ganaie & Naresh Kumar Sharma, 2018. "Macroeconomic Response to Oil and Food Price Shocks: A Structural VAR Approach to the Indian Economy," International Economic Journal, Taylor & Francis Journals, vol. 32(1), pages 66-90, January.
    3. Priyanka Aggarwal & Manoj Kumar Manish, 2020. "Effect of Oil Fluctuation on Stock Market Return: An Empirical Study from India," International Journal of Energy Economics and Policy, Econjournals, vol. 10(2), pages 213-217.
    4. Mongi Arfaoui & Aymen Ben Rejeb, 2017. "Oil, gold, US dollar and stock market interdependencies: a global analytical insight," European Journal of Management and Business Economics, Emerald Group Publishing Limited, vol. 26(3), pages 278-293, October.
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    More about this item

    Keywords

    Crude Oil prices; Macro-economic variables; ARDL; Bound test;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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