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How inflationary are oil price hikes? A disaggregated look at Thailand using symmetric and asymmetric cointegration models

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  • Mansor H. Ibrahim
  • Kanokwan Chancharoenchai

Abstract

The present paper analyzes the inflationary effects of oil prices at the aggregate and disaggregated levels for Thailand using symmetric and asymmetric cointegration and error-correction modeling approaches. The cointegration test results suggest the presence of long-run relations between oil prices and the following price indices: aggregate consumer price index, non-food and beverage price index, housing and furnishing price index, energy price index, non-raw food and energy price index and transportation and communication price index. Meanwhile, food and beverage price index and raw food price index are not cointegrated with the oil prices. From the dynamic analyses, we uncover evidence for asymmetric adjustments of the aggregate consumer prices, the non-food and beverage prices and the housing and furnishing prices towards their long-run values. Further, the effects of oil prices on inflation are observed to be significant in all goods sectors in the short run. The largest impacts of oil price changes are on the energy price inflation followed by the transportation and communication price inflation and the non-raw food and energy price inflation.

Suggested Citation

  • Mansor H. Ibrahim & Kanokwan Chancharoenchai, 2014. "How inflationary are oil price hikes? A disaggregated look at Thailand using symmetric and asymmetric cointegration models," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 19(3), pages 409-422, July.
    • Handle: RePEc:taf:rjapxx:v:19:y:2014:i:3:p:409-422
    DOI: 10.1080/13547860.2013.820470
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    7. Salisu, Afees A. & Isah, Kazeem O. & Oyewole, Oluwatomisin J. & Akanni, Lateef O., 2017. "Modelling oil price-inflation nexus: The role of asymmetries," Energy, Elsevier, vol. 125(C), pages 97-106.
    8. Sarwar, Muhammad Nadeem & Hussain, Hamid & Maqbool, Muhammad Bilal, 2020. "Pass through effects of oil price on food and non-food prices in Pakistan: A nonlinear ARDL approach," Resources Policy, Elsevier, vol. 69(C).
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    10. Sam Olofin & Afees A. Salisu, 2017. "Modelling oil price-inflation nexus: The role of asymmetries and structural breaks," Working Papers 020, Centre for Econometric and Allied Research, University of Ibadan.
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    13. Ahmad Hamidi, Hakimah Nur & Khalid, Norlin & Abdul Karim, Zulkefly, 2018. "Revisiting Relationship Between Malaysian Stock Market Index and Selected Macroeconomic Variables Using Asymmetric Cointegration," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 52(1), pages 311-319.
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    16. İbrahim Özmen & Şerife Özşahin, 2023. "Effects of global energy and price fluctuations on Turkey's inflation: new evidence," Economic Change and Restructuring, Springer, vol. 56(4), pages 2695-2728, August.
    17. Alhaji Jibrilla Aliyu & Shehu Mohammed Tijjani & Caroline Elliott, 2015. "Asymmetric cointegration between exchange rate and trade balance in Nigeria," Cogent Economics & Finance, Taylor & Francis Journals, vol. 3(1), pages 1045213-104, December.
    18. Pradeep, Siddhartha, 2022. "Impact of diesel price reforms on asymmetricity of oil price pass-through to inflation: Indian perspective," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
    19. Xu Zhang & Xiaoxing Liu & Jianqin Hang & Dengbao Yao, 2018. "The dynamic causality between commodity prices, inflation and output in China: a bootstrap rolling window approach," Applied Economics, Taylor & Francis Journals, vol. 50(4), pages 407-425, January.
    20. Xuan, Poh Paik & Chin, Lee, 2015. "Pass-through Effect of Oil Price into Consumer Price: An Empirical Study," MPRA Paper 96865, University Library of Munich, Germany.
    21. Raheem, Ibrahim D. & Bello, Ajide Kazeem & Agboola, Yusuf H., 2020. "A new insight into oil price-inflation nexus," Resources Policy, Elsevier, vol. 68(C).
    22. Phoong Seuk Wai & Phoong Seuk Yen & Moghavvemi Sedigheh & Phoong Kok Hau, 2019. "Multiple Breakpoint Test on Crude Oil Price," Foundations of Management, Sciendo, vol. 11(1), pages 187-196, January.
    23. Abubakar Lawan Ngoma & Normaz Wana Ismail & Zulkornain Yusop, 2016. "An Analysis of Real Oil Prices and Real Exchange Rates in Five African Countries," Foreign Trade Review, , vol. 51(2), pages 162-179, May.

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