文章基本信息

标题：An empirical analysis of volatility in South African oil prices
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作者：Victor Mbua Mofema ; Gisele Mah
期刊名称：Journal of Energy in Southern Africa
印刷版ISSN：1021-447X
出版年度：2021
卷号：32
期号：3
DOI：10.17159/2413-3051/2021/v32i3a8852
语种：English
出版社：Energy Research Centre
摘要：Volatility of the oil price has been around since the 1970s and an understanding of how it evolves provides insight into solving macroeconomic challenges. The main objective of this study was to analyse the volatility of South African oil prices using quarterly time series data from 2000 to 2020. The effect of growth in gross domestic product per capita, interest rate, inflation and money supply growth on oil price changes was assessed. Generalised autoregressive conditional heteroscedasticity (GARCH) was estimated and diagnostic tests – namely ARCH, normality and autocorrelation tests – were conducted. The GARCH (1,2) model was the best fit, based on the Alkaike information criterion. The result revealed that interest rates and money supply growth have a significant positive effect on oil price changes in South Africa, while growth in GDP per capita and inflation has an insignificant impact. Past one and two-quarters’ oil price volatility increases and decreases the current oil price volatility respectively. Based on the findings, a contractionary monetary policy is recommended in order to reduce the volatility of South African oil prices.