The impact of oil prices on products groups inflationis the effect asymmetric?

  1. Ligia Topan 1
  2. Miguel Jerez 1
  3. Sonia Sotoca 1
  1. 1 Universidad Complutense de Madrid
    info

    Universidad Complutense de Madrid

    Madrid, España

    ROR 02p0gd045

Revista:
Documentos de Trabajo (ICAE)

ISSN: 2341-2356

Ano de publicación: 2020

Número: 2

Páxinas: 1-24

Tipo: Documento de traballo

DIALNET GOOGLE SCHOLAR lock_openDocta Complutense editor

Outras publicacións en: Documentos de Trabajo (ICAE)

Resumo

In this paper we assess the oil price pass-through into both, the global inflation in Spain and the inflation derived from the non-deterministic prices of the standard European classification of product groups, during the period 2002-2018. To this end we fit a transfer function to inflation in each group, extended to allow for an asymmetry in the transmission of positive/negative oil cost shocks, that is, a “rockets and feathers effect”. Our results show that most often there is a significant asymmetry, which can be explained by the degree of competition in each market.

Referencias bibliográficas

  • Akaike, H. (1974). A new look at the statistical model identification. IEEE Transactions on Automatic Control, AC-19(6):716–723.
  • Alvarez, L. J., Hurtado, S., Sánchez, I., and Thomas, C. (2011). The impact of oil price changes on spanish and euro area consumer price inflation. Economic Modelling, 28(1):422 – 431.
  • Bacon, R. W. (1991). Rockets and feathers: the asymmetric speed of adjustment of uk retail gasoline prices to cost changes. Energy Economics, 13(3):211 – 218.
  • Borenstein, S. and Shepard, A. (2002). Sticky prices, inventories, and market power in wholesale gasoline markets. The RAND Journal of Economics, 33(1):116–139.
  • Box, G., Jenkins, G., Reinsel, G., and Ljung, G. (2015). Time Series Analysis: Forecasting and Control. Wiley Series in Probability and Statistics.
  • Castro, C., Jerez, M., and Barge-Gil, A. (2016). The deflationary effect of oil prices in the euro area. Energy Economics, 56:389–397.
  • Dhaoui, A., Goutte, S., and Guesmi, K. (2018). The asymmetric responses of stock markets. Journal of Economic Integration, 33(1):1096–1140.
  • Dickey, D. and Fuller, W. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4):1057–1072.
  • Donayre, L. and Wilmot, N. (2016). The asymmetric effects of oil price shocks on the canadian economy. International Journal of Energy Economics and Policy, 6(2):167–182. cited By 2.
  • Engle, R. F. and Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation and testing. Econometrica, 55(2):251–276.
  • Gately, D. and Huntington, H. (2001). The asymmetric effects of changes in price and income on energy and oil demand. C.V. Starr Center for Applied Economics, New York University, Working Papers, 23.
  • Hannan, E. and Quinn, B. (1979). The determination of the order of an autoregression. Journal of the Royal Statistical Society, Series B, 41(2):713–723.
  • Huang, S., An, H., Gao, X., and Sun, X. (2017). Do oil price asymmetric effects on the stock market persist in multiple time horizons? Applied Energy, 185:1799 – 1808. Clean, Efficient and Affordable Energy for a Sustainable Future.
  • Kristoufek, L. and Lunackova, P. (2015). Rockets and feathers meet joseph: Reinvestigating the oil–gasoline asymmetry on the international markets. Energy Economics, 49:1 – 8.
  • Kwiatkowski, D., Phillips, P., Schmidt, P., and Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics, 54(1-3):159– 178.
  • Lewis, M. and Marvel, H. P. (2011). When do consumers search? Journal of Industrial Economics, 59(3):457–483.
  • Moshiri, S. (2015). Asymmetric effects of oil price shocks in oil-exporting countries: the role of institutions. OPEC Energy Review, 39(2):222–246.
  • Radchenko, S. (2005). Oil price volatility and the asymmetric response of gasoline prices to oil price increases and decreases. Energy Economics, 27(5):708–730.
  • Rahman, S. and Serletis, A. (2010). The asymmetric effects of oil price and monetary policy shocks: A nonlinear var approach. Energy Economics, 32(6):1460 – 1466.
  • Rahman, S. and Serletis, A. (2011). The asymmetric effects of oil price shocks. Macroeconomic Dynamics, 15(S3):437–471.
  • Schwarz, G. (1978). Estimating the dimension of a model. Annals of Statistics, 6(2):461–464.
  • Tappata, M. (2009). Rockets and feathers: Understanding asymmetric pricing. The RAND Journal of Economics, 40(4):673–687.
Fonte de datos: Dialnet