The impact of oil price shocks on inflation: Do asymmetries matter?

Turan T., Özer H. A.

Acta Oeconomica, cilt.72, sa.3, ss.271-288, 2022 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 72 Sayı: 3
  • Basım Tarihi: 2022
  • Doi Numarası: 10.1556/032.2022.00022
  • Dergi Adı: Acta Oeconomica
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, International Bibliography of Social Sciences, Periodicals Index Online, EconLit, Geobase, Index Islamicus
  • Sayfa Sayıları: ss.271-288
  • Anahtar Kelimeler: oil prices, inflation, asymmetric effects, CEE countries, augmented phillips curve, cointegration, SYSTEMATIC MONETARY-POLICY, PASS-THROUGH, ERROR-CORRECTION, MACROECONOMY, COINTEGRATION
  • Kocaeli Üniversitesi Adresli: Hayır

Özet

© 2022 Akadémiai Kiadó, Budapest.Using cointegration approach and Augmented Phillips Curve framework, this study examines the effects of changes in the global oil prices on the inflation rate for five CEE countries between 1994 and 2018. Our research indicates the existence of cointegration for Czechia, Poland and Slovakia. We find a positive relationship between changes of oil prices and the inflation rate in Poland in the long run. Additionally, it seems that the changes in oil prices impact the inflation rate in the long run for Czechia, Hungary and Poland. In a non-linear model framework cointegration is found in Czechia, Hungary, Poland and Slovenia. Our findings suggest that changes in oil prices significantly affect the inflation rate in Czechia, Hungary and Poland in the long-run and in all countries in the short-run. More importantly, we demonstrate that the short-and long-run asymmetries play a significant role in explaining the dynamics of the inflation rate.