THE VOLATILITY OF WORLD CRUDE OIL PRICES
The role of oil in an economy is very crucial. This article measures the world oil price uncer-tainty based on conditional standard deviations. It focuses on the volatility of crude oil price in United Kingdom, Texas, and Dubai markets, from January, 1980 to May, 2010. It finds the evidence that asy...
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| Format: | Article |
| Language: | English |
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Universitas Islam Indonesia
2011-09-01
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| Series: | Economic Journal of Emerging Markets |
| Online Access: | https://hmts.civil.uii.ac.id/JEP/article/view/2316 |
| _version_ | 1797782162357878784 |
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| author | Haryo Kuncoro |
| author_facet | Haryo Kuncoro |
| author_sort | Haryo Kuncoro |
| collection | DOAJ |
| description | The role of oil in an economy is very crucial. This article measures the world oil price uncer-tainty based on conditional standard deviations. It focuses on the volatility of crude oil price in United Kingdom, Texas, and Dubai markets, from January, 1980 to May, 2010. It finds the evidence that asymmetric leverage effects are not found. It also finds that volatility process in returns to its mean only evidenced in Dubai. These findings have some important implications for Indonesia. The government might use the dynamic of oil price in Dubai market as a benchmark to set up its state budget to realize fiscal sustainability.
Keywords: Oil price, volatility, asymmetric leverage, fiscal sustainability
JEL classification numbers: C22, Q43 |
| first_indexed | 2024-03-13T00:07:07Z |
| format | Article |
| id | doaj.art-c639581ad432445485c70a0d040fd9c4 |
| institution | Directory Open Access Journal |
| issn | 2086-3128 2502-180X |
| language | English |
| last_indexed | 2024-03-13T00:07:07Z |
| publishDate | 2011-09-01 |
| publisher | Universitas Islam Indonesia |
| record_format | Article |
| series | Economic Journal of Emerging Markets |
| spelling | doaj.art-c639581ad432445485c70a0d040fd9c42023-07-13T00:33:46ZengUniversitas Islam IndonesiaEconomic Journal of Emerging Markets2086-31282502-180X2011-09-0131THE VOLATILITY OF WORLD CRUDE OIL PRICESHaryo KuncoroThe role of oil in an economy is very crucial. This article measures the world oil price uncer-tainty based on conditional standard deviations. It focuses on the volatility of crude oil price in United Kingdom, Texas, and Dubai markets, from January, 1980 to May, 2010. It finds the evidence that asymmetric leverage effects are not found. It also finds that volatility process in returns to its mean only evidenced in Dubai. These findings have some important implications for Indonesia. The government might use the dynamic of oil price in Dubai market as a benchmark to set up its state budget to realize fiscal sustainability. Keywords: Oil price, volatility, asymmetric leverage, fiscal sustainability JEL classification numbers: C22, Q43https://hmts.civil.uii.ac.id/JEP/article/view/2316 |
| spellingShingle | Haryo Kuncoro THE VOLATILITY OF WORLD CRUDE OIL PRICES Economic Journal of Emerging Markets |
| title | THE VOLATILITY OF WORLD CRUDE OIL PRICES |
| title_full | THE VOLATILITY OF WORLD CRUDE OIL PRICES |
| title_fullStr | THE VOLATILITY OF WORLD CRUDE OIL PRICES |
| title_full_unstemmed | THE VOLATILITY OF WORLD CRUDE OIL PRICES |
| title_short | THE VOLATILITY OF WORLD CRUDE OIL PRICES |
| title_sort | volatility of world crude oil prices |
| url | https://hmts.civil.uii.ac.id/JEP/article/view/2316 |
| work_keys_str_mv | AT haryokuncoro thevolatilityofworldcrudeoilprices AT haryokuncoro volatilityofworldcrudeoilprices |