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THE VOLATILITY OF WORLD CRUDE OIL PRICES

Name: THE VOLATILITY OF WORLD CRUDE OIL PRICES
Creator: Kuncoro, Haryo
Keywords: Regional economics. Space in economics, HT388, 0502 economics and business, 05 social sciences, 8. Economic growth, 1. No poverty, HD72-88, Economic growth, development, planning

descriptionPublicationkeyboard_double_arrow_right Article 01 Sep 2011 English Publisher:Universitas Islam IndonesiaJournal:Economic Journal of Emerging Markets (issn: 2086-3128,

Authors: Kuncoro, Haryo;

THE VOLATILITY OF WORLD CRUDE OIL PRICES

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Abstract

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

Keywords

Regional economics. Space in economics, HT388, HD72-88, Economic growth, development, planning

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