The effects of oil price uncertainty on economic activities in South Africa
This paper investigates the link between oil price uncertainty shocks and key macroeconomic indicators of a net oil importing country, South Africa. Monthly data covering the period 1990:01 to 2015:12 is used. The Structural Vector Autoregressive (SVAR) methodology is applied incorporating realized...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2018-01-01
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| Series: | Cogent Economics & Finance |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/23322039.2018.1518117 |
| _version_ | 1819053290954948608 |
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| author | Junior T. Chiweza Goodness C. Aye |
| author_facet | Junior T. Chiweza Goodness C. Aye |
| author_sort | Junior T. Chiweza |
| collection | DOAJ |
| description | This paper investigates the link between oil price uncertainty shocks and key macroeconomic indicators of a net oil importing country, South Africa. Monthly data covering the period 1990:01 to 2015:12 is used. The Structural Vector Autoregressive (SVAR) methodology is applied incorporating realized volatility as an indicator of oil price uncertainty to investigate the short run effects of oil price uncertainty. The Generalised Impulse Response Functions (GIRF) analysis reveals that for most variables, oil price uncertainty shock has an adverse and persistent effect over time. Consistent with GIRF, the Generalised Forecast Error Variance Decompositions (GFEVDs) analysis also points out that oil price uncertainty shocks contributes substantially to variations in real output, inflation and various macroeconomic variables of South Africa. Therefore, SVAR analysis reveals the significant role of exogenous oil prices on the economy of South Africa when price uncertainty shocks exist. The policy implications of these findings are drawn. |
| first_indexed | 2024-12-21T12:33:23Z |
| format | Article |
| id | doaj.art-4fc39613253b4c1f91ae0b334152bc60 |
| institution | Directory Open Access Journal |
| issn | 2332-2039 |
| language | English |
| last_indexed | 2024-12-21T12:33:23Z |
| publishDate | 2018-01-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Economics & Finance |
| spelling | doaj.art-4fc39613253b4c1f91ae0b334152bc602022-12-21T19:03:59ZengTaylor & Francis GroupCogent Economics & Finance2332-20392018-01-016110.1080/23322039.2018.15181171518117The effects of oil price uncertainty on economic activities in South AfricaJunior T. Chiweza0Goodness C. Aye1University of PretoriaUniversity of PretoriaThis paper investigates the link between oil price uncertainty shocks and key macroeconomic indicators of a net oil importing country, South Africa. Monthly data covering the period 1990:01 to 2015:12 is used. The Structural Vector Autoregressive (SVAR) methodology is applied incorporating realized volatility as an indicator of oil price uncertainty to investigate the short run effects of oil price uncertainty. The Generalised Impulse Response Functions (GIRF) analysis reveals that for most variables, oil price uncertainty shock has an adverse and persistent effect over time. Consistent with GIRF, the Generalised Forecast Error Variance Decompositions (GFEVDs) analysis also points out that oil price uncertainty shocks contributes substantially to variations in real output, inflation and various macroeconomic variables of South Africa. Therefore, SVAR analysis reveals the significant role of exogenous oil prices on the economy of South Africa when price uncertainty shocks exist. The policy implications of these findings are drawn.http://dx.doi.org/10.1080/23322039.2018.1518117oil price uncertaintyvolatilityeconomic activitiesshort runsvarsouth africa |
| spellingShingle | Junior T. Chiweza Goodness C. Aye The effects of oil price uncertainty on economic activities in South Africa Cogent Economics & Finance oil price uncertainty volatility economic activities short run svar south africa |
| title | The effects of oil price uncertainty on economic activities in South Africa |
| title_full | The effects of oil price uncertainty on economic activities in South Africa |
| title_fullStr | The effects of oil price uncertainty on economic activities in South Africa |
| title_full_unstemmed | The effects of oil price uncertainty on economic activities in South Africa |
| title_short | The effects of oil price uncertainty on economic activities in South Africa |
| title_sort | effects of oil price uncertainty on economic activities in south africa |
| topic | oil price uncertainty volatility economic activities short run svar south africa |
| url | http://dx.doi.org/10.1080/23322039.2018.1518117 |
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