Another Pass-Through Bites the Dust? Oil Prices and Inflation

Gregorio, José De; Landerretche, Óscar; Neilson, Christopher

doi:10.1353/eco.2007.0014

Cited by 129 publications

(138 citation statements)

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“…In contrast to the generally held viewpoint that recessions and inflation are caused by an uptrend in oil prices, Barsky and Kilian [33] evidenced that the variations in oil prices do not significantly explain the stagflation in the US. Gregorio et al [26] in their study comprising of a sample of 34 countries reported a downfall in the intensity of relationship between oil prices and inflation in many of the countries under study. Chen [28] also suggested a similar decline in the oil passthrough effect in his study that included 19 industrialized economies.…”

Section: Literature Reviewmentioning

confidence: 97%

“…For instance, Hamilton [1], Burbridge and Harrison [19], Loungani [20], Gisser and Goodwin [21], Mork [22], Hamilton [2], Rotemberg and Woodford [23], Hamilton [3], Cunado and Garcia [24] and [25] Bachmeier, Gregorio et al [26], Zhang and Reed [27], Chen [28] etc. are some of the studies that have tried to capture the dynamic interactions between oil price shocks, inflation and economic activity in a country but with no consensus building in their approach as well as findings.…”

Section: Literature Reviewmentioning

confidence: 99%

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How Indian CPI and Industrial Production Respond to Global Oil Price Shocks? Regime-Dependent Impulse Responses

Singh¹,

Singh²

2017

TEL

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For emerging markets like India, where around 80 percent of the crude requirements are met through imports, it is an imperative task to comprehend impact of global crude oil price shocks on Indian macroeconomic variables. The present study attempts to understand these asymmetric dynamic interactions between global crude oil price shocks and Indian macroeconomic variables by employing Markov switching-Vector Autoregressive (MS-VAR) regime-dependent impulse responses in level forms. The findings hold an important place in the wake of inflation targeting regime adopted by the monetary policy authorities. The findings highlight the existence of two regimes, namely lower and higher oil price variance regimes. The response of industrial production and consumer prices is different towards oil price shocks in different regimes. In the lower oil variance regime, there is negative (positive) relationship observed between crude oil shocks and industrial production (consumer prices). On the other hand, there is a positive equilibrium shift in the industrial production in the higher oil variance regime with cost pushing inflationary pressures in the long run. The findings bear strong implication for the policy makers in their attempt to combat effects of crude oil shocks. As per the findings, the emerging market policy makers should display a cautious approach during higher oil price volatile phases in order to support industrial production and consumer demand.

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Section: Literature Reviewmentioning

confidence: 97%

Section: Literature Reviewmentioning

confidence: 99%

How Indian CPI and Industrial Production Respond to Global Oil Price Shocks? Regime-Dependent Impulse Responses

Singh¹,

Singh²

2017

TEL

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“…De Gregorio et al (2007) deploy rolling VARs to examine the pass-through of global oil prices to consumer price inflation in 24 advanced and 12 emerging markets during . Their results show a fall in the average estimated pass-through for advanced economies and, to a lesser degree, for emerging economies.…”

Section: Literature Surveymentioning

confidence: 99%

Determinants of Consumer Price Inflation Versus Producer Price Inflation in Asia

2016

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“…They identify that negative oil price shocks significantly increase inflation. De Gregorio et al (2007) estimate a Phillips curve equation with lags of inflation, the output gap, and the percentage change in the price of oil for 24 industrial economies and 12 emerging economies. Their study shows the effects of oil shocks on the general level of prices.…”

Section: Previous Studiesmentioning

confidence: 99%

Inflationary effects of oil prices and domestic gasoline prices: Markov-switching-VAR analysis

Özdemir

Akgül

2015

Pet. Sci.

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Another Pass-Through Bites the Dust? Oil Prices and Inflation

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Cited by 129 publications

References 40 publications

How Indian CPI and Industrial Production Respond to Global Oil Price Shocks? Regime-Dependent Impulse Responses

How Indian CPI and Industrial Production Respond to Global Oil Price Shocks? Regime-Dependent Impulse Responses

Determinants of Consumer Price Inflation Versus Producer Price Inflation in Asia

Inflationary effects of oil prices and domestic gasoline prices: Markov-switching-VAR analysis

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