Oil-price, inflation pass-through: Are there some known, unknowns?
Author's Department
Economics Department
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https://www.dbpia.co.kr/Journal/articleDetail?nodeId=NODE09004233#
Document Type
Research Article
Publication Title
Journal of Economic Research
Publication Date
1-11-2018
Abstract
The study revisits the oil price and inflation nexus in 18 emerging market economies. We bring new evidence by studying this relationship using the disaggregated inflation data, (the headline inflation and the four major inflation sub-groups including core inflation, food inflation, fuel inflation and housing inflation). Using mixed frequency data sampling (MIDAS) regression, the study explains the oil price shock transmission mechanism, where food group plays an important role in translating the immediate incidence of the shock. Our out-of-sample forecasts strongly support the prediction power of MIDAS over VEC model, for headline CPI inflation and CPI subgroups inflation.
First Page
291
Last Page
321
Recommended Citation
APA Citation
Syed, S. A.
(2018). Oil-price, inflation pass-through: Are there some known, unknowns?. Journal of Economic Research, 23(3), 291–321.
https://fount.aucegypt.edu/faculty_journal_articles/321
MLA Citation
Syed, Sarfaraz Ali Shah
"Oil-price, inflation pass-through: Are there some known, unknowns?." Journal of Economic Research, vol. 23,no. 3, 2018, pp. 291–321.
https://fount.aucegypt.edu/faculty_journal_articles/321