Inflationary effects of oil price and exchange rate shocks in South Africa: Evidence from time‐varying pass‐through coefficients
Author
Abstract
Suggested Citation
DOI: 10.1111/saje.12327
Download full text from publisher
References listed on IDEAS
- Hamilton, James D., 1996. "This is what happened to the oil price-macroeconomy relationship," Journal of Monetary Economics, Elsevier, vol. 38(2), pages 215-220, October.
- Choudhri, Ehsan U. & Hakura, Dalia S., 2006.
"Exchange rate pass-through to domestic prices: Does the inflationary environment matter?,"
Journal of International Money and Finance, Elsevier, vol. 25(4), pages 614-639, June.
- Ms. Dalia S Hakura & Ehsan U. Choudhri, 2001. "Exchange Rate Pass-Through to Domestic Prices: Does the Inflationary Environment Matter?," IMF Working Papers 2001/194, International Monetary Fund.
- David C. Parsley, 2012.
"Exchange Rate Pass-through in South Africa: Panel Evidence from Individual Goods and Services,"
Journal of Development Studies, Taylor & Francis Journals, vol. 48(7), pages 832-846, January.
- David C. Parsley, 2010. "Exchange Rate Passthrough in South Africa Panel Evidence from Individual Goods and Services," Working Papers 3580, South African Reserve Bank.
- Parsley, David, 2010. "Exchange Rate Pass-through in South Africa: Panel Evidence from Individual Goods and Services," MPRA Paper 21115, University Library of Munich, Germany.
- Prasertnukul, Weera & Kim, Donghun & Kakinaka, Makoto, 2010.
"Exchange rates, price levels, and inflation targeting: Evidence from Asian countries,"
Japan and the World Economy, Elsevier, vol. 22(3), pages 173-182, August.
- Weera Prasertnukul & Donghun Kim & Makoto Kakinaka, 2010. "Exchange Rates, Price Levels, and Inflation Targeting: Evidence from Asian Countries," Working Papers EMS_2010_03, Research Institute, International University of Japan.
- Qiang Ji & Ming-Lei Liu & Ying Fan, 2015. "Effects of Structural Oil Shocks on Output, Exchange Rate, and Inflation in the BRICS Countries: A Structural Vector Autoregression Approach," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 51(6), pages 1129-1140, November.
- Mehmet Balcilar & Ojonugwa Usman & Esther Abdul Agbede, 2019. "Revisiting the Exchange Rate Pass‐Through to Inflation in Africa’s Two Largest Economies: Nigeria and South Africa," African Development Review, African Development Bank, vol. 31(2), pages 245-257, June.
- Jouchi Nakajima, 2011.
"Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications,"
Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 29, pages 107-142, November.
- Jouchi Nakajima, 2011. "Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications," IMES Discussion Paper Series 11-E-09, Institute for Monetary and Economic Studies, Bank of Japan.
- Jonathan McCarthy, 2007.
"Pass-Through of Exchange Rates and Import Prices to Domestic Inflation in Some Industrialized Economies,"
Eastern Economic Journal, Eastern Economic Association, vol. 33(4), pages 511-537, Fall.
- J. McCarthy, 1999. "Pass-through of exchange rates and import prices to domestic inflation in some industrialised economies," BIS Working Papers 79, Bank for International Settlements.
- Jonathan McCarthy, 2000. "Pass-through of exchange rates and import prices to domestic inflation in some industrialized economies," Staff Reports 111, Federal Reserve Bank of New York.
- Thomas Bwire & Francis L. Anguyo & Jacob Opolot, 2013. "Exchange Rate Pass-Through to Domestic Prices in Uganda: Evidence from a Structural Vector Auto-Regression (SVAR)," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 2(4), pages 1-3.
- Alain Kabundi & Asi Mbelu, 2018.
"Has the Exchange Rate Pass‐Through changed in South Africa?,"
South African Journal of Economics, Economic Society of South Africa, vol. 86(3), pages 339-360, September.
- Alain Kabundi & Asi Mbelu, 2016. "Has the Exchange Rate Pass-Through changed in South Africa?," Working Papers 649, Economic Research Southern Africa.
- Alain Kabundi & Asi Mbelu, 2016. "Has the Exchange Rate PassThrough changed in South Africa," Working Papers 7556, South African Reserve Bank.
- Maki, Daiki, 2012. "Tests for cointegration allowing for an unknown number of breaks," Economic Modelling, Elsevier, vol. 29(5), pages 2011-2015.
- Jose de Gregorio & Oscar Landerretche & Christopher Neilson, 2007.
"Another Pass-Through Bites the Dust? Oil Prices and Inflation,"
Economía Journal, The Latin American and Caribbean Economic Association - LACEA, vol. 0(Spring 20), pages 155-208, January.
- José De Gregorio & Oscar Landerretche & Christopher Neilson, 2007. "Another Pass-Through Bites The Dust? Oil Prices And Inflation," Working Papers wp238, University of Chile, Department of Economics.
- Jose De Gregorio. & Oscar Landerretche. & Christopher Neilson., 2007. "Another Pass-Through Bites the Dust? Oil Prices and Inflation," Working Papers Central Bank of Chile 417, Central Bank of Chile.
- Siew-Voon Soon & Ahmad Zubaidi Baharumshah & Mark E. Wohar, 2018. "Exchange rate pass-through in the Asian countries: does inflation volatility matter?," Applied Economics Letters, Taylor & Francis Journals, vol. 25(5), pages 309-312, March.
- Timothy Cogley & Thomas J. Sargent, 2005.
"Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 262-302, April.
- Timothy Cogley & Thomas Sargent, "undated". "Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII US," Working Papers 2133503, Department of Economics, W. P. Carey School of Business, Arizona State University.
- Timothy Cogley & Thomas J. Sargent, 2003. "Drifts and volatilities: monetary policies and outcomes in the post WWII U.S," FRB Atlanta Working Paper 2003-25, Federal Reserve Bank of Atlanta.
- Gisser, Micha & Goodwin, Thomas H, 1986. "Crude Oil and the Macroeconomy: Tests of Some Popular Notions: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 18(1), pages 95-103, February.
- Bacon, Robert W., 1991. "Rockets and feathers: the asymmetric speed of adjustment of UK retail gasoline prices to cost changes," Energy Economics, Elsevier, vol. 13(3), pages 211-218, July.
- Shintani, Mototsugu & Terada-Hagiwara, Akiko & Yabu, Tomoyoshi, 2013.
"Exchange rate pass-through and inflation: A nonlinear time series analysis,"
Journal of International Money and Finance, Elsevier, vol. 32(C), pages 512-527.
- Mototsugu Shintani & Akiko Terada-Hagiwara & Tomoyoshi Yabu, 2009. "Exchange Rate Pass-Through and Inflation: A Nonlinear Time Series Analysis," Vanderbilt University Department of Economics Working Papers 0920, Vanderbilt University Department of Economics.
- Mototsugu Shintani & Akiko Terada-Hagiwara & Tomoyoshi Yabu, 2012. "Exchange rate pass-through and inflation: a nonlinear time series analysis," Vanderbilt University Department of Economics Working Papers 12-00008, Vanderbilt University Department of Economics.
- Hooker, Mark A, 2002. "Are Oil Shocks Inflationary? Asymmetric and Nonlinear Specifications versus Changes in Regime," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(2), pages 540-561, May.
- Diby François Kassi & Dilesha Nawadali Rathnayake & Akadje Jean Roland Edjoukou & Yobouet Thierry Gnangoin & Pierre Axel Louembe & Ning Ding & Gang Sun, 2019. "Asymmetry in Exchange Rate Pass-Through to Consumer Prices: New Perspective from Sub-Saharan African Countries," Economies, MDPI, vol. 7(1), pages 1-33, January.
- Kiseok Lee & Shawn Ni & Ronald A. Ratti, 1995. "Oil Shocks and the Macroeconomy: The Role of Price Variability," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 39-56.
- Junsoo Lee & Mark C. Strazicich, 2003. "Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 1082-1089, November.
- Nakajima, Jouchi & Kasuya, Munehisa & Watanabe, Toshiaki, 2011.
"Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy,"
Journal of the Japanese and International Economies, Elsevier, vol. 25(3), pages 225-245, September.
- Jouchi Nakajima & Munehisa Kasuya & Toshiaki Watanabe, 2009. "Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy," Global COE Hi-Stat Discussion Paper Series gd09-072, Institute of Economic Research, Hitotsubashi University.
- Jouchi Nakajima & Munehisa Kasuya & Toshiaki Watanabe, 2009. "Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy," IMES Discussion Paper Series 09-E-13, Institute for Monetary and Economic Studies, Bank of Japan.
- Hooker, Mark A., 1996. "What happened to the oil price-macroeconomy relationship?," Journal of Monetary Economics, Elsevier, vol. 38(2), pages 195-213, October.
- Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W., 2009. "On the evolution of the monetary policy transmission mechanism," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 997-1017, April.
- Hooker, Mark A., 1996. "This is what happened to the oil price-macroeconomy relationship: Reply," Journal of Monetary Economics, Elsevier, vol. 38(2), pages 221-222, October.
- Giorgio E. Primiceri, 2005. "Time Varying Structural Vector Autoregressions and Monetary Policy," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(3), pages 821-852.
- Mehmet Balcilar & Josine Uwilingiye & Rangan Gupta, 2018.
"Dynamic Relationship Between Oil Price And Inflation In South Africa,"
Journal of Developing Areas, Tennessee State University, College of Business, vol. 52(2), pages 73-93, April-Jun.
- Mehmet Balcilar & Josine Uwilingiye & Rangan Gupta, 2014. "Dynamic Relationship between Oil Price and Inflation in South Africa," Working Papers 201430, University of Pretoria, Department of Economics.
- Burbidge, John & Harrison, Alan, 1984.
"Testing for the Effects of Oil-Price Rises Using Vector Autoregressions,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(2), pages 459-484, June.
- John Burbidge & Alan Harrison, 1982. "Testing for the Effects of Oil-Price Rises Using Vector Autoregressions," School of Economics and Public Policy Working Papers 1982-01, University of Adelaide, School of Economics and Public Policy.
- S. J. Mosala & J. C. M. Venter & E. G. Bain, 2017. "South Africa’s Economic Transformation Since 1994: What Influence has the National Democratic Revolution (NDR) Had?," The Review of Black Political Economy, Springer;National Economic Association, vol. 44(3), pages 327-340, December.
- Kabundi, Alain & Mlachila, Montfort, 2019. "The role of monetary policy credibility in explaining the decline in exchange rate pass-through in South Africa," Economic Modelling, Elsevier, vol. 79(C), pages 173-185.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Abdurrahman Nazif Çatik & Mehmet Karaçuka & A. Özlem Önder, 2022. "The Time-Varying Impact of External Shocks on the Consumer Price Components: Evidence from an Emerging Market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(4), pages 781-807, December.
- Balcilar, Mehmet & Roubaud, David & Usman, Ojonugwa & Wohar, Mark E., 2021. "Moving out of the linear rut: A period-specific and regime-dependent exchange rate and oil price pass-through in the BRICS countries," Energy Economics, Elsevier, vol. 98(C).
- Christiane Baumeister & Gert Peersman, 2013.
"Time-Varying Effects of Oil Supply Shocks on the US Economy,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 5(4), pages 1-28, October.
- C. Baumeister & G. Peersman, 2008. "Time-Varying Effects of Oil Supply Shocks on the US Economy," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 08/515, Ghent University, Faculty of Economics and Business Administration.
- Christiane Baumeister & Gert Peersman, 2012. "Time-Varying Effects of Oil Supply Shocks on the U.S. Economy," Staff Working Papers 12-2, Bank of Canada.
- Gert Peersman & Christiane Baumeister, 2009. "Time-Varying Effects of Oil Supply Shocks on the US Economy," 2009 Meeting Papers 171, Society for Economic Dynamics.
- Hahn, Elke & Mestre, Ricardo, 2011. "The role of oil prices in the euro area economy since the 1970s," Working Paper Series 1356, European Central Bank.
- repec:bla:opecrv:v:32:y:2008:i:4:p:343-380 is not listed on IDEAS
- Filis, George & Degiannakis, Stavros & Floros, Christos, 2011.
"Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries,"
International Review of Financial Analysis, Elsevier, vol. 20(3), pages 152-164, June.
- Filis, George & Degiannakis, Stavros & Floros, Christos, 2011. "Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries," MPRA Paper 96299, University Library of Munich, Germany.
- Todd E. Clark & Stephen J. Terry, 2010.
"Time Variation in the Inflation Passthrough of Energy Prices,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(7), pages 1419-1433, October.
- Todd E. Clark & Stephen J. Terry, 2010. "Time Variation in the Inflation Passthrough of Energy Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(7), pages 1419-1433, October.
- Todd E. Clark & Stephen J. Terry, 2009. "Time variation in the inflation passthrough of energy prices," Research Working Paper RWP 09-06, Federal Reserve Bank of Kansas City.
- Brown, Stephen P. A. & Yucel, Mine K., 2002.
"Energy prices and aggregate economic activity: an interpretative survey,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 42(2), pages 193-208.
- Stephen P. A. Brown & Mine K. Yücel, 2001. "Energy prices and aggregate economic activity: an interpretive survey," Working Papers 0102, Federal Reserve Bank of Dallas.
- Degiannakis, Stavros & Filis, George & Panagiotakopoulou, Sofia, 2018.
"Oil price shocks and uncertainty: How stable is their relationship over time?,"
Economic Modelling, Elsevier, vol. 72(C), pages 42-53.
- Stavros Degiannakis & George Filis & Sofia Panagiotakopoulou, 2018. "Oil Price Shocks and Uncertainty: How stable is their relationship over time?," BAFES Working Papers BAFES13, Department of Accounting, Finance & Economic, Bournemouth University.
- Degiannakis, Stavros & Filis, George & Panagiotakopoulou, Sofia, 2018. "Oil Price Shocks and Uncertainty: How stable is their relationship over time?," MPRA Paper 96271, University Library of Munich, Germany.
- Muhammad Arshad Khan & Ayaz Ahmed, 2011. "Macroeconomic Effects of Global Food and Oil Price Shocks to the Pakistan Economy: A Structural Vector Autoregressive (SVAR) Analysis," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 50(4), pages 491-511.
- Matteo Manera & Alessandro Cologni, 2006. "The Asymmetric Effects of Oil Shocks on Output Growth: A Markov-Switching Analysis for the G-7 Countries," Working Papers 2006.29, Fondazione Eni Enrico Mattei.
- Farid Zulfigarov & Matthias Neuenkirch, 2019. "Azerbaijan and its Oil Resources: Curse or Blessing?," Research Papers in Economics 2019-11, University of Trier, Department of Economics.
- Tang, Weiqi & Wu, Libo & Zhang, ZhongXiang, 2010.
"Oil price shocks and their short- and long-term effects on the Chinese economy,"
Energy Economics, Elsevier, vol. 32(Supplemen), pages 3-14, September.
- Weiqi Tang & Libo Wu & ZhongXiang Zhang, 2009. "Oil Price Shocks and Their Short- and Long-Term Effects on the Chinese Economy," Economics Study Area Working Papers 102, East-West Center, Economics Study Area.
- Tang, Weiqi & Wu, Libo & Zhang, ZhongXiang, 2009. "Oil price shocks and their short- and long-term effects on the Chinese economy," MPRA Paper 14703, University Library of Munich, Germany.
- Zulfigarov, Farid & Neuenkirch, Matthias, 2020. "The impact of oil price changes on selected macroeconomic indicators in Azerbaijan," Economic Systems, Elsevier, vol. 44(4).
- Troster, Victor & Shahbaz, Muhammad & Uddin, Gazi Salah, 2018.
"Renewable energy, oil prices, and economic activity: A Granger-causality in quantiles analysis,"
Energy Economics, Elsevier, vol. 70(C), pages 440-452.
- Troster, Victor & Shahbaz, Muhammad & Uddin, Gazi Salah, 2018. "Renewable Energy, Oil Prices, and Economic Activity: A Granger-causality in Quantiles Analysis," MPRA Paper 84194, University Library of Munich, Germany, revised 19 Jan 2018.
- Tomoyuki Yagi & Yoshiyuki Kurachi & Masato Takahashi & Kotone Yamada & Hiroshi Kawata, 2022. "Pass-Through of Cost-Push Pressures to Consumer Prices," Bank of Japan Working Paper Series 22-E-17, Bank of Japan.
- Lacheheb, Miloud & Sirag, Abdalla, 2019. "Oil price and inflation in Algeria: A nonlinear ARDL approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 73(C), pages 217-222.
- Balcilar, Mehmet & Usman, Ojonugwa, 2021. "Exchange rate and oil price pass-through in the BRICS countries: Evidence from the spillover index and rolling-sample analysis," Energy, Elsevier, vol. 229(C).
- Lizardo, Radhamés A. & Mollick, André V., 2010. "Oil price fluctuations and U.S. dollar exchange rates," Energy Economics, Elsevier, vol. 32(2), pages 399-408, March.
- Blaise Gnimassoun & Marc Joëts & Tovonony Razafindrabe, 2016. "On the link between current account and oil price fluctuations in diversified economies: The case of Canada," Working Papers hal-04141574, HAL.
- Raúl J. Crespo & José A. Zambrano, 2018. "Macroeconomic Impacts of Oil Price Shocks in Venezuela," Bristol Economics Discussion Papers 18/703, School of Economics, University of Bristol, UK.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:sajeco:v:90:y:2022:i:3:p:301-328. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/essaaea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.