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Oil price shocks and inflation rate persistence: A Fractional Cointegration VAR approach
Economic Analysis and Policy ( IF 7.9 ) Pub Date : 2021-03-06 , DOI: 10.1016/j.eap.2021.02.014
Tirimisiyu F. Oloko , Ahamuefula E. Ogbonna , Abdulfatai A. Adedeji , Noman Lakhani

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.



中文翻译:

石油价格冲击和通货膨胀率持续性:分数协整VAR方法

这项研究调查了石油价格冲击对前十(10)个石油出口国和石油进口国的通货膨胀持续性的影响。该研究采用了最近开发的分数协整向量自回归(FCVAR)方法。它说明了货币政策框架和汇率制度的作用。它还测试并说明了油价的不对称性。结果表明,石油输出国和石油进口国的通货膨胀率持续性并未因油价震荡而增加,这表明这些国家的货币政策适应了油价震荡,并且不一定会因油价震荡而改变。这适用于实行浮动汇率制度和以通胀为目标的国家,以及实行固定汇率制度和以非通胀为目标的货币政策框架的国家。石油进口国的货币政策似乎适应了石油价格的冲击。由于未能考虑到石油价格不对称性往往会夸大石油出口国和石油进口国的通货膨胀持续性,因此结论并没有明显改变。考虑到油价不对称,正负油价冲击后,此结果是一致的。

更新日期:2021-03-09
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