Oil price uncertainty and manufacturing production

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dc.contributor.author Aye, Goodness Chioma
dc.contributor.author Dadam, Vincent
dc.contributor.author Gupta, Rangan
dc.contributor.author Mamba, Bonginkosi
dc.date.accessioned 2014-08-05T08:58:19Z
dc.date.available 2014-08-05T08:58:19Z
dc.date.issued 2014-05
dc.description.abstract Given the rapid rise and volatility of oil prices, the paper investigates the effect of oil price uncertainty on the South African manufacturing production using monthly observations covering the period 1974:02 to 2012:12. In addition, we quantify the responses of manufacturing production to positive and negative oil price shocks. We examine the dynamic relationship using a bivariate GARCH-in-mean VAR simultaneously estimated with a full information maximum likelihood technique. The conditional standard deviation of the forecast of the growth of US crude oil imported acquisition cost by refiners is used as ameasure of oil price uncertainty. Our results show that oil price uncertainty negatively and significantly impacts on South Africa's manufacturing production. We also find that the responses of manufacturing production to positive and negative shocks are asymmetric en_US
dc.description.librarian hb2014 en_US
dc.description.uri http://www.elsevier.com/locate/eneco en_US
dc.identifier.citation Aye, GC, Dadam, V, Gupta, R & Mamba, B 2014, 'Oil price uncertainty and manufacturing production', Energy Economics, vol. 43, pp. 41-47. en_US
dc.identifier.issn 0140-9883 (print)
dc.identifier.issn 1873-6181 (online)
dc.identifier.other 10.1016/j.eneco.2014.02.004
dc.identifier.uri http://hdl.handle.net/2263/41076
dc.language.iso en en_US
dc.publisher Elsevier en_US
dc.rights © 2014 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Energy Economics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Energy Economics, vol. 43, pp. 41-47, 2014. doi : 10.1016/j.eneco.2014.02.004. en_US
dc.subject Oil volatility en_US
dc.subject Vector autoregression en_US
dc.subject Bivariate GARCH-in-mean VAR en_US
dc.subject Manufacturing production en_US
dc.subject South African manufacturing production en_US
dc.title Oil price uncertainty and manufacturing production en_US
dc.type Postprint Article en_US


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