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Oil Price Volatility Impacts Over the Timor-Leste Economy

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The 9th International Conference on Energy and Environment Research (ICEER 2022)

Part of the book series: Environmental Science and Engineering ((ESE))

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Abstract

The present study applies time-series volatility models to study oil price volatility and the effect of macroeconomic variables, such as the Gross Domestic Product (GDP), Consumer Price Index (CPI), interest rate, exchange rates, and money supply on the economic growth of Timor-Leste during 2003M01-2019M12, as well as the reverse effect of GDP growth over oil prices. Considering the Autoregressive Conditional Heteroskedasticity ARCH (1) and the Generalized GARCH (1,1) models for the oil price volatility, results show that the interest rate can lower the oil price. Contrarily, the CPI, exchange rate, GDP, and money supply increase oil prices. Meanwhile, the CPI, exchange rate, and interest rate drive negatively GDP, reducing economic growth. Thus, oil prices and the money supply could influence Timor-Leste's economic growth. Exponential EGARCH (1,1) estimation of the oil price shows that interest rates could depress the oil price. Symmetrical and asymmetrical techniques have shown that oil prices and economic growth in the Timor-Leste region are volatile. This study is important for Timor-Leste policymakers to consider the impact of oil price volatility and macroeconomic variables to be significant to economic growth and prevent their negative effects.

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Acknowledgements

The support of the Research Unit on Governance, Competitiveness and Public Policy (UIDB/04058/2020) + (UIDP/04058/2020), funded by national funds through FCT—Fundação para a Ciência e a Tecnologia is greatly acknowledged.

Author information

Authors and Affiliations

  1. Faculty of Economics and Management, National University of Timor Lorosa’e (UNTL), GOVCOPP, University of Aveiro, Avenida Cidade de Lisboa, Díli, Timor-Leste

    Fernando Anuno

  2. Research Unit On Governance, Competitiveness and Public Policies (GOVCOPP), Department of Economics, Management, Industrial Engineering and Tourism (DEGEIT), University of Aveiro, Campus Universitário de Santiago, 3810-193, Aveiro, Portugal

    Fernando Anuno & Mara Madaleno

  3. GOVCOPP, ISCA—Higher Institute for Accountancy and Administration of Aveiro, University of Aveiro, Campus Universitário de Santiago, Aveiro, Portugal

    Elisabete Vieira

Authors
  1. Fernando Anuno
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  2. Mara Madaleno
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  3. Elisabete Vieira
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Corresponding author

Correspondence to Fernando Anuno .

Editor information

Editors and Affiliations

  1. Polytechnic Institute of Porto, School of Engineering (ISEP), Porto, Portugal

    Nídia S. Caetano

  2. Polytechnic Institute of Porto, School of Engineering (ISEP), Porto, Portugal

    Manuel Carlos Felgueiras

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Anuno, F., Madaleno, M., Vieira, E. (2023). Oil Price Volatility Impacts Over the Timor-Leste Economy. In: Caetano, N.S., Felgueiras, M.C. (eds) The 9th International Conference on Energy and Environment Research. ICEER 2022. Environmental Science and Engineering. Springer, Cham. https://doi.org/10.1007/978-3-031-43559-1_71

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