Time-Varying Spillover Effect Among Oil Price and Macroeconomic Variables Worrawat Saijai 1(B ) , Woraphon Yamaka 2 , Paravee Maneejuk 2 , and Songsak Sriboonchitta 2 1 Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand worrawat13@hotmail.com 2 Centre of Excellence in Econometrics, Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand woraphon.econ@gmail.com Abstract. A purpose of this study is to examine a dynamic relationship between oil price and macroeconomic variables namely consumer price index, interest rate, effective exchange rate, and broad money (M3). The rising prices of oil could affect producer’s cost and, in turn, lead to rising average prices of all goods by theory. This situation is called inflation which can be observed from an increase in some macroeconomic indica- tors such as consumer price index. However, as the oil price are chang- ing over time due to political and economic situations, the relationship between macroeconomic indicators should have more dynamic property. Therefore, this study employed the time-varying VAR model to examine this non-constant relationship. The estimated results show that the effect of oil price on some variables are time-varying while the other variable is constantly affected by the oil price. Keywords: TV-VAR · Oil price · Macroeconomic variables Inflation · Volatility 1 Introduction The characteristics of the oil markets affecting the economy has been of inter- ested to many studies. The complexity between the relationship among oil price and economic variables made the empirical results for the causality still in doubt. However, there are enough evidences for supporting the relationship between oil price and macroeconomic factors. In the literature, Hamilton [12, 14] remarked that United State economic recessions in 1960–61 was affected by an increasing in crude oil price. On the other hand, Blanchard and Gali [8], Kilian [15], Blanchard and Riggi [9], and Allegret et al. [2] presented that structure of economy and the way of using policy might be changed by the oil price transmission. Segal [21] found some interesting clue that the rising in oil price in 2008 didn’t lead to high inflation and GDP growth because of the different context that demand driven became more important than supply driven which was vice versa in the c  Springer Nature Switzerland AG 2019 V. Kreinovich et al. (Eds.): ECONVN 2019, SCI 809, pp. 1121–1131, 2019. https://doi.org/10.1007/978-3-030-04200-4_82