Inflation and exchange rate pass-through

Abstract

The Policy Research Working Paper Series disseminates the findings of work in progress to encourage the exchange of ideas about development issues. An objective of the series is to get the findings out quickly, even if the presentations are less than fully polished. The papers carry the names of the authors and should be cited accordingly. The findings, interpretations, and conclusions expressed in this paper are entirely those of the authors. They do not necessarily represent the views of the International Bank for Reconstruction and Development/World Bank and its affiliated organizations, or those of the Executive Directors of the World Bank or the governments they represent.

Risk perception and oil and gasoline markets under COVID-19

“…Similar to Shambaugh (2008) , Forbes, Hjortsoe, and Nenova (2018) , and Ha, Marc, and Yilmazkuday (2020) , we use a ratio of cumulative responses to define pass-through. Specifically, the crude oil price pass-through into gasoline spot price is defined as the ratio of cumulative response of New York Harbor Gasoline Regular spot price (following a percentage change in total Google search queries) to cumulative response of Brent Crude Oil price (also, following a percentage change in total Google search queries): …”

Disaggregated Inflation and Asymmetric Oil Price Pass‐through in Nigeria

“…Where dsp_cpi is the disaggregated CPI including food, core, other energy, and transport inflation; y is the output gap 2 , and op is the spot price of Bonny Light oil. In addition, this study considered er in the inflation, oil price pass-through model because Nigeria is a small open economy operating under a flexible exchange rate regime, as such, exchange rate dynamics has a significant influence on the macroeconomic variables (see Udeaja and Isah, 2019;Ha, Stocker and Yilmazkuday, 2019;Adelajda, 2019;Marodin and Portugal, 2019). Consequently, Equation ( 1) is extended to Equation (2) as follows:…”

COVID-19 and Daily Oil Price Pass-Through

“…) is defined as the ratio of the cumulative impulse of gasoline retail prices divided by the cumulative response of oil prices: This approach (of using ratios of cumulative responses) is similar to those in studies such as H. Yilmazkuday (2019), and Ha et al (2020), who estimate exchange rate (or oil price) pass-through measures using the cumulative response of consumer prices (or gasoline prices) divided by the cumulative response of exchange rate (or oil prices), both following a common shock.…”

“…Finally, this paper contributes by measuring the pass-through of crude oil prices into gasoline prices through the cumulative impulse response of gasoline prices divided by the cumulative response of crude oil prices. Although this approach is similar to that used in such studies as Ha et al (2020) in the context of exchange rate pass-through, and in H. Yilmazkuday (2019) in the context of oil price pass-through, to our knowledge, the present paper is the first to use it to investigate oil price pass-through into gasoline prices caused by the COVID-19 pandemic.…”