Naslov (eng)

How do oil price changes affect inflation in Central and Eastern European countries? A wavelet-based Markov switching approach

Autor

Živkov, Dejan
Đurašković, Jasmina
Manić, Slavica

Opis (eng)

ABSTRACTThis paper investigates how oil price changes affect consumer priceinflation in eleven Central and Eastern European countries. We use awavelet-based Markov switching approach in order to distinguishbetween the effects at different time horizons. Wefind that thetransmission of oil price changes to inflation is relatively low inthe Central and Eastern European countries as an increase in theoil price of 100% is followed by a rise in inflation of 1–6percentage points. The strongest impact from rising oil price oninflation is found for the longer time-horizons for most of thecountries, which means that the indirect spillover effect is moreintensive than the direct one. Also, the results indicate thatexchange rate is not a significant factor when oil shocks aretransmitted towards inflation, except in the occasions when highdepreciation occurs. Slovakia and Bulgaria are the countries whichexperience the highest and most consistent pass-through effectthroughout the observed sample, and this may be due to thesecountries having some of the highest oil import/GDP ratios

Jezik

engleski

Datum

2019

Licenca

Ovo delo je licencirano pod uslovima licence
Creative Commons CC BY 4.0 - Creative Commons Autorstvo 4.0 International License.

http://creativecommons.org/licenses/by/4.0/legalcode

Predmet

Keywords: CEECs; Inflation; Markov switching model; Oil; Wavelet

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o:28218

Ekonomski fakultet