Main Article Content


Purpose ― This study examines the impact of oil price shocks on macroeconomic indicators, namely real GDP, real exchange rates, inflation, real interest rates, the balance of payments, and unemployment rates in four ASEAN countries, namely Brunei Darussalam, Malaysia, Indonesia, and Thailand.

Methods ― This research uses a Vector Error Correction Model (VECM). The oil price variable in this study was divided into two, namely, the increase and decrease in oil prices based on the Mork transformation.

Findings ― The analysis showed that the impact of price increases tended to encourage the economy of Brunei Darussalam and Malaysia. The shock of falling oil prices tended to cause a decline in the economy of Brunei Darussalam and Malaysia. The shock of rising prices tended to hamper the economies of Indonesia and Thailand. The shock of falling oil prices did not always positively impact the economy of the importing country, especially for the balance of payments.

Implication ― These results show that price shocks will produce different economic responses. Understanding a country's macroeconomic framework is important before implementing effective policies.

Originality ― These results expand the literature on the impact of oil price shocks on macroeconomic indicators in developing countries and small open economies, while studies related to macroeconomics generally focus on growth and inflation. This study also distinguishes oil price shocks into rising and falling oil price shocks using the Mork transformation.


oil price shock macroeconomics VECM ASEAN

Article Details

Author Biographies

Adawiya Taufani, School of International IPB University, Bogor, Indonesia

Graduate School, School of International IPB University, Bogor, Indonesia

Dedi Budiman Hakim, International Center for Applied Finance and Economics (InterCAFE) IPB University, Bogor, Indonesia

Department of Economics, Faculty of Economics and Management, IPB University

Widyastutik Widyastutik, Department of Economics, Faculty of Economics and Management, IPB University, Bogor, Indonesia

Department of Economics, Faculty of Economics and Management, IPB University

How to Cite
Taufani, A., Hakim, D. B., & Widyastutik, W. (2022). The impact of oil price shocks on macroeconomic indicators: Evidence from four ASEAN countries. Economic Journal of Emerging Markets, 14(2), 271–286.


  1. Ahmed, K., Bhutto, N. A., & Kalhoro, M. R. (2019). Decomposing the links between oil price shocks and macroeconomic indicators: Evidence from SAARC region. Resources Policy, 61, 423–432.
  2. Al Rasasi, M., & Yilmaz, M. (2016). The effects of oil shocks on Turkish macroeconomic aggregates. International Journal of Energy Economics and Policy, 6(3), 471–476.
  3. Alekhina, V., & Yoshino, N. (2018). Impact of world oil prices on an energy-exporting economy including monetary policy (ADBI Working Papers No. 828). Tokyo.
  4. Bala, U., & Chin, L. (2018). Asymmetric impacts of oil price on inflation: An empirical study of African OPEC member countries. Energies, 11(11), 1–22.
  5. Balli, E., Nazif Çatık, A., & Nugent, J. B. (2021). Time-varying impact of oil shocks on trade balances: Evidence using the TVP-VAR model. Energy, 217, 119377.
  6. British Petroelum. (2020). BP statistical review of world energy 2020. London.
  7. Charfeddine, L., & Barkat, K. (2020). Short- and long-run asymmetric effect of oil prices and oil and gas revenues on the real GDP and economic diversification in oil-dependent economy. Energy Economics, 86, 104680.
  8. Cuestas, J. C., & Gil-Alana, L. A. (2018). Oil price shocks and unemployment in Central and Eastern Europe. Economic Systems, 42(1), 164–173.
  9. DEPS. (2020). Brunei Darussalam statitical year book 2019. Bandar Seri Begawan.
  10. Enders, W. (2004). Applied econometric time series (2nd editio). New York: John Wiley & Son.
  11. Etornam, D. K. (2015). The impact of oil price shocks on the macroeconomic of Ghana. Journal of Poverty, Investment and Development, 9, 37–54.
  12. Faheem, M., Azali, M., Chin, L., & Mazlan, N. S. (2020). Asymmetric effect of oil price changes on trade balance in Saudi Arabia, Kuwait and United Arab Emirates. Pakistan Journal of Commerce and Social Sciences (PJCSS), 14(3), 685–714.
  13. Feng, Y., Xu, D., Failler, P., & Li, T. (2020). Research on the time-varying impact of economic policy uncertainty on crude oil price fluctuation. Sustainability, 12(16), 1–24.
  14. Gershon, O., Ezenwa, N. E., & Osabohien, R. (2019). Implications of oil price shocks on net oil-importing African countries. Heliyon, 5(8), e02208.
  15. Hamilton, J. D., & Lin, G. (1996). Stock market volatility and the business cycle. Journal of Applied Econometrics, 11(5), 573–593.<573::AID-JAE413>3.0.CO;2-T
  16. Huang, B.-N., Hwang, M. J., & Peng, H.-P. (2005). The asymmetry of the impact of oil price shocks on economic activities: An application of the multivariate threshold model. Energy Economics, 27(3), 455–476.
  17. IEA. (2021). World energy outlook 2021: Part of world energy outlook.
  18. Jalil, N. E., Ghani, G. M., & Duasa, J. (2009). Oil prices and the Malaysia economy. International Review of Business Research Paper, 5(4), 232–256.
  19. Jibril, H., Chaudhuri, K., & Mohaddes, K. (2020). Asymmetric oil prices and trade imbalances: Does the source of the oil shock matter? Energy Policy, 137, 1–15.
  20. Jiménez-Rodríguez, R., & Sánchez, M. (2005). Oil price shocks and real GDP growth: empirical evidence for some OECD countries. Applied Economics, 37(2), 201–228.
  21. Kitous, A., Saveyn, B., Keramidas, K., Vandyck, T., Santos, L. R. L., & Wojtowicz, K. (2016). Impact of low oil prices on oil exporting countries. Luxembourg: European Commission, DG Joint Research Centre (JRC).
  22. Kriskkumar, K., & Naseem, N. A. M. (2019). Analysis of oil price effect on economic growth of ASEAN net oil exporters. Energies, 12(17), 1–19.
  23. Kumaga, S. (2018). Will Thailand’s low inflation continue under economic expansion? Tokyo. Retrieved from
  24. Lee, K., Ni, S., & Ratti, R. A. (1995). Oil shocks and the macroeconomy: The role of price variability. The Energy Journal, 16(4), 39–56.
  25. Lorusso, M., & Pieroni, L. (2018). Causes and consequences of oil price shocks on the UK economy. Economic Modelling, 72, 223–236.
  26. Majuca, R. P. (2020). Assessing the impact of oil price on the Malaysian economy (Working Paper No. WP/20-02).
  27. Mendoza, O., & Vera, D. (2010). The asymmetric effects of oil shocks on an oil-exporting economy. Cuadernos de Economía, 47, 3–13.
  28. Mork, K. A. (1989). Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton’s Results. Journal of Political Economy, 97(3), 740–744. Retrieved from
  29. Musa, S. F. D., & Rozaidah, S. (2020). Addressing issues of unemployment in Brunei: The mismatch between employers expectation and employees expiration. International Journal of Asian Business and Information Management, 11(2), 88–101.
  30. Ordóñez, J., Monfort, M., & Cuestas, J. C. (2019). Oil prices, unemployment and the financial crisis in oil-importing countries: The case of Spain. Energy, 181, 625–634.
  31. Park, J., & Ratti, R. A. (2008). Oil price shocks and stock markets in the U.S. and 13 European countries. Energy Economics, 30(5), 2587–2608.
  32. Razmi, F., Azali, M., Chin, L., & Shah Habibullah, M. (2016). The role of monetary transmission channels in transmitting oil price shocks to prices in ASEAN-4 countries during pre- and post-global financial crisis. Energy, 101, 581–591.
  33. Saidu, M. T., Naseem, N. A. M., Law, S. H., & Yasmin, B. (2021). Exploring the asymmetric effect of oil price on exchange rate: Evidence from the top six African net oil importers. Energy Reports, 7, 8238–8257.
  34. Sakanko, M. A., & David, J. (2019). The effect of electronic payment systems on financial performance of microfinance banks in Niger State. Esensi: Jurnal Bisnis Dan Manajemen, 9(2), 143–154.
  35. Shangle, A., & Solaymani, S. (2020). Responses of monetary policies to oil price changes in Malaysia. Energy, 200, 117553.
  36. Ugwuanyi, C. U. (2011). Effect of exchange rate fluctuations and oil price shocks: The Nigerian experience 1986–2008. University of Nigeria, Nsukka.
  37. Varlik, S., & Berument, M. H. (2020). Oil price shocks and the composition of current account balance. Central Bank Review, 20(1), 1–8.
  38. Yildirim, Z., & Arifli, A. (2021). Oil price shocks, exchange rate and macroeconomic fluctuations in a small oil-exporting economy. Energy, 219, 119527.
  39. Zakaria, M., Khiam, S., & Mahmood, H. (2021). Influence of oil prices on inflation in South Asia: Some new evidence. Resources Policy, 71, 102014.