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Testing for asymmetries in the predictive model for oil price-inflation nexus

Author

Listed:
  • Afees A. Salisu

    (Centre for Econometric & Allied Research, University of Ibadan, Nigeria)

  • Kazeem O. Isah

    (Centre for Econometric & Allied Research, University of Ibadan, Nigeria)

  • Idris Ademuyiwa

    (Centre for International Governance Innovation (CIGI), Waterloo, Canada.)

Abstract

In this paper, we test whether accounting for asymmetries matters in inflation forecasting. Using OECD data, we find that such consideration does little to improve the forecast performance of oil price in the predictive model for inflation. Overall, we find evidence in favour of asymmetries for the in-sample analyses while the symmetric variant performs better for the out-of-sample forecast.

Suggested Citation

  • Afees A. Salisu & Kazeem O. Isah & Idris Ademuyiwa, 2017. "Testing for asymmetries in the predictive model for oil price-inflation nexus," Economics Bulletin, AccessEcon, vol. 37(3), pages 1797-1804.
    • Handle: RePEc:ebl:ecbull:eb-17-00609
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Moses Tule & Afees A. Salisu & Charles Chimeke, 2018. "You are what you eat: The role of oil price in Nigeria inflation forecast," Working Papers 040, Centre for Econometric and Allied Research, University of Ibadan.
    2. Moses Tule & Afees Salisu & Charles Chiemeke, 2020. "Improving Nigeria’s Inflation Forecast with Oil Price: The Role of Estimators," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(1), pages 191-229, March.
    3. Afees Adebare Salisu & Raymond Swaray & Tirimisiyu Oloko, 2017. "US stocks in the presence of oil price risk: Large cap vs. Small cap," Economics and Business Letters, Oviedo University Press, vol. 6(4), pages 116-124.
    4. Alsamara, Mouyad & Mrabet, Zouhair & Dombrecht, Michel, 2018. "Asymmetric import cost pass-through in GCC countries: Evidence from nonlinear panel analysis," Economic Modelling, Elsevier, vol. 75(C), pages 432-440.
    5. Afees A. Salisu & Raymond Swaray & Idris Adediran, 2018. "Improving the predictability of commodity prices in US inflation: The role of coffee price," Working Papers 041, Centre for Econometric and Allied Research, University of Ibadan.

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    More about this item

    Keywords

    Oil price asymmetries; Inflation; Forecast evaluation; OECD;
    All these keywords.

    JEL classification:

    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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