The cointegration between economic sectors and oil price in Malaysia / Zalina Anak Ayum

The main objective of this study is to examine the long run equilibrium between
economic sectors and oil price in Malaysia. The variables that are included in this
study are agriculture sector, industry sector, manufacturing sector, services sector and
the oil price. This research study covers annual data for the time period from 1985 to
2016. Econometrics methods like unit root, cointegration and causality test were
tested to identify a long run relationship and causality from energy prices to economic
sector. Data for economic sector and energy prices were extracted from World Bank
and Energy Information Administration (EIA). By using Augmented Dickey-Fuller
(ADF) and Phillips-Perron (PP) unit root test, the time series data for all dependent
and independent variables are found to be non-stationary at level but stationary at first
difference. The results from Johansen cointegration test show that there is long run
relationship between the variables. Pairwise Granger causality test suggested that oil
price affect the industrial, manufacturing and services sectors in Malaysia.