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Oil price shocks and inflation rate persistence: A Fractional Cointegration VAR approach

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  • Oloko, Tirimisiyu F.
  • Ogbonna, Ahamuefula E.
  • Adedeji, Abdulfatai A.
  • Lakhani, Noman

Abstract

This study investigates the effect of oil price shocks on the inflation persistence of the top ten (10) oil-exporting and oil-importing countries. The study employs the recently developed fractional cointegration vector autoregressive (FCVAR) approach. It accounts for the role of monetary policy framework and exchange rate regime. It also tests and accounts for oil price asymmetry. The results show that inflation rate persistence of oil-exporting and oil-importing countries does not increase due to oil price shocks suggesting that the monetary policy of these countries accommodates oil price shocks, and may not necessarily be changed due to oil price shocks. This holds for countries operating floating regimes and inflation targeting, and those operating pegged regimes and non-inflation targeting monetary policy framework. The monetary policy of oilimporting countries appears to accommodate oil price shocks. As failure to account for oil price asymmetry tends to exaggerate inflation persistence for both oil-exporting and oil-importing countries, the conclusions do not change markedly. This result is consistent after accounting for oil price asymmetry, under positive and negative oil price shocks.

Suggested Citation

  • Oloko, Tirimisiyu F. & Ogbonna, Ahamuefula E. & Adedeji, Abdulfatai A. & Lakhani, Noman, 2021. "Oil price shocks and inflation rate persistence: A Fractional Cointegration VAR approach," Economic Analysis and Policy, Elsevier, vol. 70(C), pages 259-275.
    • Handle: RePEc:eee:ecanpo:v:70:y:2021:i:c:p:259-275
    DOI: 10.1016/j.eap.2021.02.014
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    8. Mutiu A. Oyinlola & Tirimisiyu F. Oloko & Samuel Orekoya, 2021. "Ratchet Effect in Import Prices – Inflation Rate Nexus," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 3, pages 335-354, September.
    9. Cheikh, Nidhaleddine Ben & Zaied, Younes Ben & Mattoussi, Wided, 2023. "Oil price shocks in the age of surging inflation," Energy Economics, Elsevier, vol. 128(C).
    10. Bigerna, Simona, 2024. "Connectedness analysis of oil price shocks, inflation, and exchange rate for the MENA region countries," Resources Policy, Elsevier, vol. 88(C).
    11. Bello Abdullahi MUHAMMAD & Muhammad Shehu SHUAIBU & Mohammad Junaid ALAM & Lawan Nasiru SALISU, 2023. "The Asymmetric Impact of Oil Price Volatility on Nigeria's Inflation," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 3, pages 5-16.
    12. Bigerna, Simona, 2023. "Energy price shocks, exchange rates and inflation nexus," Energy Economics, Elsevier, vol. 128(C).
    13. Yildirim, Zekeriya & Guloglu, Hasan, 2024. "Macro-financial transmission of global oil shocks to BRIC countries — International financial (uncertainty) conditions matter," Energy, Elsevier, vol. 306(C).
    14. Mukti KHETAN & Vijay KUMAR & Kalandi Charan PRADHAN & Mohd. Aziz SHAIKH & Mohd. ARSHAD, 2024. "Forecasting gold price and inflation for India and US: An analysis of ARIMA and Holt Winters models," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(2(639), S), pages 255-268, Summer.
    15. Shahzad, Umer & Orsi, Bianca & Sharma, Gagan Deep, 2024. "Managing inflation expectations and the efficiency of monetary policy responses to energy crises," Energy Economics, Elsevier, vol. 133(C).
    16. Ayaz Zeynalov & Kristina Tiron, 2022. "Macroeconomic performance of oil price shocks in Russia," Papers 2211.04954, arXiv.org, revised Nov 2022.
    17. Khatai Aliyev & Sugra Humbatova & Natig Hajiyev Gadim-Oglu, 2023. "How Oil Price Changes Affect Inflation in an Oil-Exporting Country: Evidence from Azerbaijan," Sustainability, MDPI, vol. 15(7), pages 1-11, March.
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    More about this item

    Keywords

    Fractional cointegration; Inflation persistence; Oil price shocks; Oil price asymmetry; Country heterogeneity;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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