The asymmetric impacts of oil price and shocks on inflation in BRICS: a multiple threshold nonlinear ARDL model

References

• Anand., B., and S. Paul. 2021. “Oil Shocks and Stock Market: Revisiting the Dynamics.” Energy Economics 96:105-111.
   Web of Science ®Google Scholar
• Anzuini, A., P. Pagano, and M. Pisani. 2015. “Macroeconomic Effects of Precautionary Demand for Oil.” Journal of Applied Econometrics 30 (6): 968–986. doi:https://doi.org/10.1002/jae.2419.
   Web of Science ®Google Scholar
• Bhutto, N. A., and B. H. Chang. 2019. “The Effect of the Global Financial Crisis on the Asymmetric Relationship between Exchange Rate and Stock Prices.” High Frequency 2 (3–4): 175–183. doi:https://doi.org/10.1002/hf2.10033.
   Google Scholar
• Bjørnland, H. C. 2009. “Oil Price Shocks and Stock Market Booms in an Oil Exporting Country.” Scottish Journal of Political Economy 56 (2): 232–254. doi:https://doi.org/10.1111/j.1467-9485.2009.00482.x.
   Web of Science ®Google Scholar
• Bohi, D. R. 1991. “On the Macroeconomic Effects of Energy Price Shocks.” Resources and Energy 13 (2): 145–162. doi:https://doi.org/10.1016/0165-0572(91)90012-R.
   Web of Science ®Google Scholar
• Bresnahan, T. F., and V. A. Ramey. 1993. “Segment Shifts and Capacity Utilization in the US Automobile Industry.” The American Economic Review 83: 213–218.
   Web of Science ®Google Scholar
• Broock, W. A., J. A. Scheinkman, W. D. Dechert, and B. Lebaron. 1996. “A Test for Independence Based on the Correlation Dimension.” Econometric Reviews 15 (3): 197–235. doi:https://doi.org/10.1080/07474939608800353.
   Google Scholar
• Chen, J., X. Zhu, and H. Li. 2020. “The Pass-through Effects of Oil Price Shocks on China’s Inflation: A Time-varying Analysis.” Energy Economics 86: 104695. doi:https://doi.org/10.1016/j.eneco.2020.104695.
   Web of Science ®Google Scholar
• Chen, -S.-S. 2009. “Oil Price Pass-through into Inflation.” Energy Economics 31 (1): 126–133. doi:https://doi.org/10.1016/j.eneco.2008.08.006.
   Web of Science ®Google Scholar
• Cologni, A., and M. Manera. 2008. “Oil Prices, Inflation and Interest Rates in a Structural Cointegrated VAR Model for the G-7 Countries.” Energy Economics 30 (3): 856–888. doi:https://doi.org/10.1016/j.eneco.2006.11.001.
   Web of Science ®Google Scholar
• Davis, S. J., and J. Haltiwanger. 2001. “Sectoral Job Creation and Destruction Responses to Oil Price Changes.” Journal of Monetary Economics 48 (3): 465–512. doi:https://doi.org/10.1016/S0304-3932(01)00086-1.
   Web of Science ®Google Scholar
• De Gregorio, J., O. Landerretche, C. Neilson, C. Broda, and R. Rigobon. 2007. “Another Pass-through Bites the Dust? Oil Prices and Inflation [With Comments].” Economia 7: 155–208.
   Google Scholar
• Demirer, R., R. Ferrer, and S. J. H. Shahzad. 2020. “Oil Price Shocks, Global Financial Markets and Their Connectedness.” Energy Economics 88: 104771. doi:https://doi.org/10.1016/j.eneco.2020.104771.
   Web of Science ®Google Scholar
• Dickey, D. A., and W. A. Fuller. 1979. “Distribution of the Estimators for Autoregressive Time Series with a Unit Root.” Journal of the American Statistical Association 74: 427–431.
   Web of Science ®Google Scholar
• Edelstein, P., and L. Kilian. 2009. “How Sensitive are Consumer Expenditures to Retail Energy Prices?” Journal of Monetary Economics 56 (6): 766–779. doi:https://doi.org/10.1016/j.jmoneco.2009.06.001.
   Web of Science ®Google Scholar
• Filis, G., and I. Chatziantoniou. 2014. “Financial and Monetary Policy Responses to Oil Price Shocks: Evidence from Oil-importing and Oil-exporting Countries.” Review of Quantitative Finance and Accounting 42 (4): 709–729. doi:https://doi.org/10.1007/s11156-013-0359-7.
   Google Scholar
• Filis, G., S. Degiannakis, and C. Floros. 2011. “Dynamic Correlation between Stock Market and Oil Prices: The Case of Oil-importing and Oil-exporting Countries.” International Review of Financial Analysis 20 (3): 152–164. doi:https://doi.org/10.1016/j.irfa.2011.02.014.
   Web of Science ®Google Scholar
• Gao, L., H. Kim, and R. Saba. 2014. “How Do Oil Price Shocks Affect Consumer Prices?” Energy Economics 45: 313–323. doi:https://doi.org/10.1016/j.eneco.2014.08.001.
   Web of Science ®Google Scholar
• Gómez-loscos, A., M. D. Gadea, and A. Montañés. 2012. “Economic Growth, Inflation and Oil Shocks: Are the 1970s Coming Back?” Applied Economics 44 (35): 4575–4589. doi:https://doi.org/10.1080/00036846.2011.591741.
   Web of Science ®Google Scholar
• Gong, X., and B. Lin. 2018. “Time-varying Effects of Oil Supply and Demand Shocks on China’s Macro-economy.” Energy 149: 424–437. doi:https://doi.org/10.1016/j.energy.2018.02.035.
   Web of Science ®Google Scholar
• Hamilton, J. D. 1983. “Oil and the Macroeconomy since World War II.” Journal of Political Economy 91 (2): 228–248. doi:https://doi.org/10.1086/261140.
   Web of Science ®Google Scholar
• Hamilton, J. D. 2003. “What Is an Oil Shock?” Journal of Econometrics 113 (2): 363–398. doi:https://doi.org/10.1016/S0304-4076(02)00207-5.
   Web of Science ®Google Scholar
• Hamilton, J. D. 2011. “Nonlinearities and the Macroeconomic Effects of Oil Prices.” Macroeconomic Dynamics 15 (S3): 364–378. doi:https://doi.org/10.1017/S1365100511000307.
   Web of Science ®Google Scholar
• Herwartz, H., and M. Plödt. 2016. “The Macroeconomic Effects of Oil Price Shocks: Evidence from a Statistical Identification Approach.” Journal of International Money and Finance 61: 30–44. doi:https://doi.org/10.1016/j.jimonfin.2015.11.001.
   Web of Science ®Google Scholar
• Hooker, M. A. 1999. “Oil and the Macroeconomy Revisited.” Available at SSRN 186014.
   Google Scholar
• Hooker, M. A. 2002. “Are Oil Shocks Inflationary? Asymmetric and Nonlinear Specifications versus Changes in Regime.” Journal of Money, Credit and Banking 34 (2): 540–561. doi:https://doi.org/10.1353/mcb.2002.0041.
   Web of Science ®Google Scholar
• Ibrahim, M. H. 2015. “Oil and Food Prices in Malaysia: A Nonlinear ARDL Analysis.” Agricultural and Food Economics 3 (1). doi:https://doi.org/10.1186/s40100-014-0020-3.
   Google Scholar
• Jacquinot, P., M. Kuismanen, R. Mestre, and M. Spitzer. 2009. “An Assessment of the Inflationary Impact of Oil Shocks in the Euro Area.” The Energy Journal 30 (1). doi:https://doi.org/10.5547/0195-6574-EJ-Vol30-No1-3.
   Web of Science ®Google Scholar
• Jiranyakul, K. 2019. “Oil Price Shocks and Domestic Inflation in Thailand.” Available at SSRN 2578836.
   Google Scholar
• Kilian, L. 2008. “Exogenous Oil Supply Shocks: How Big are They and How Much Do They Matter for the US Economy?” The Review of Economics and Statistics 90 (2): 216–240. doi:https://doi.org/10.1162/rest.90.2.216.
   Web of Science ®Google Scholar
• Kilian, L. 2009. “Not All Oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market.” American Economic Review 99 (3): 1053–1069. doi:https://doi.org/10.1257/aer.99.3.1053.
   Web of Science ®Google Scholar
• Kilic, E., and S. Cankaya. 2019. “Oil Prices and Economic Activity in BRICS and G7 Countries.” Central European Journal of Operations Research 28 (4): 1315–1342. doi:https://doi.org/10.1007/s10100-019-00647-8.
   Web of Science ®Google Scholar
• Kwiatkowski, D., P. C. Phillips, P. Schmidt, and Y. Shin. 1992. “Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root: How Sure are We that Economic Time Series Have a Unit Root?” Journal of Econometrics 54 (1–3): 159–178. doi:https://doi.org/10.1016/0304-4076(92)90104-Y.
   Web of Science ®Google Scholar
• Lacheheb, M., and A. Sirag. 2019. “Oil Price and Inflation in Algeria: A Nonlinear ARDL Approach.” The Quarterly Review of Economics and Finance 73: 217–222. doi:https://doi.org/10.1016/j.qref.2018.12.003.
   Web of Science ®Google Scholar
• Leblanc, M., and M. D. Chinn. 2004. “Do High Oil Prices Presage Inflation? the Evidence from G-5 Countries.” UC Santa Cruz Economics Working Paper 561(4): 04-04.
   Google Scholar
• Lee, K., and S. Ni. 2002. “On the Dynamic Effects of Oil Price Shocks: A Study Using Industry Level Data.” Journal of Monetary Economics 49 (4): 823–852. doi:https://doi.org/10.1016/S0304-3932(02)00114-9.
   Web of Science ®Google Scholar
• Lin, B., and T. Su. 2020. “Does Oil Price Have Similar Effects on the Exchange Rates of BRICS?” International Review of Financial Analysis 69: 101461. doi:https://doi.org/10.1016/j.irfa.2020.101461.
   Web of Science ®Google Scholar
• Lòpez-villavicencio, A., and M. Pourroy. 2019. “Inflation Target and (A)symmetries in the Oil Price Pass-through to Inflation.” Energy Economics 80: 860–875. doi:https://doi.org/10.1016/j.eneco.2019.01.025.
   Web of Science ®Google Scholar
• Nasir, M. A., A. A. Al-Emadi, M. Shahbaz, and S. Hammoudeh. 2019. “Importance of Oil Shocks and the GCC Macroeconomy: A Structural VAR Analysis.” Resources Policy 61: 166–179. doi:https://doi.org/10.1016/j.resourpol.2019.01.019.
   Web of Science ®Google Scholar
• Pal, D., and S. K. Mitra. 2015. “Asymmetric Impact of Crude Price on Oil Product Pricing in the United States: An Application of Multiple Threshold Nonlinear Autoregressive Distributed Lag Model.” Economic Modelling 51: 436–443. doi:https://doi.org/10.1016/j.econmod.2015.08.026.
   Web of Science ®Google Scholar
• Pal, D., and S. K. Mitra. 2016. “Asymmetric Oil Product Pricing in India: Evidence from a Multiple Threshold Nonlinear ARDL Model.” Economic Modelling 59: 314–328. doi:https://doi.org/10.1016/j.econmod.2016.08.003.
   Web of Science ®Google Scholar
• Pal, D., and S. K. Mitra. 2019. “Asymmetric Oil Price Transmission to the Purchasing Power of the U.S. Dollar: A Multiple Threshold NARDL Modelling Approach.” Resources Policy 64: 101508. doi:https://doi.org/10.1016/j.resourpol.2019.101508.
   Web of Science ®Google Scholar
• Peersman, G., and I. Van Robays. 2009. “Oil and the Euro Area Economy.” Economic Policy 24 (60): 603–651. doi:https://doi.org/10.1111/j.1468-0327.2009.00233.x.
   Google Scholar
• Perron, P. 1997. “Further Evidence on Breaking Trend Functions in Macroeconomic Variables.” Journal of Econometrics 80 (2): 355–385. doi:https://doi.org/10.1016/S0304-4076(97)00049-3.
   Web of Science ®Google Scholar
• Pesaran, M. H., Y. Shin, and R. J. Smith. 2001. “Bounds Testing Approaches to the Analysis of Level Relationships.” Journal of Applied Econometrics 16 (3): 289–326. doi:https://doi.org/10.1002/jae.616.
   Web of Science ®Google Scholar
• Phillips, P. E. T. E. R. C. B., and P. Perron. 1988. “Testing for a Unit Root in Time Series Regression.” Biometrika 75 (2): 335–346. doi:https://doi.org/10.1093/biomet/75.2.335.
   Web of Science ®Google Scholar
• Prat, G., and R. Uctum. 2011. “Modelling Oil Price Expectations: Evidence from Survey Data.” The Quarterly Review of Economics and Finance 51 (3): 236–247. doi:https://doi.org/10.1016/j.qref.2011.03.003.
   Google Scholar
• Raheem, I. D., A. K. Bello, and Y. H. Agboola. 2020. “A New Insight into Oil Price-inflation Nexus.” Resources Policy 68: 101804. doi:https://doi.org/10.1016/j.resourpol.2020.101804.
   Web of Science ®Google Scholar
• Ready, R. C. 2018. “Oil Prices and the Stock Market*.” Review of Finance 22 (1): 155–176. doi:https://doi.org/10.1093/rof/rfw071.
   Web of Science ®Google Scholar
• Salisu, A. A., K. O. Isah, O. J. Oyewole, and L. O. Akanni. 2017. “Modelling Oil Price-inflation Nexus: The Role of Asymmetries.” Energy 125: 97–106. doi:https://doi.org/10.1016/j.energy.2017.02.128.
   Web of Science ®Google Scholar
• Sek, S. K., X. Q. Teo, and Y. N. Wong. 2015. “A Comparative Study on the Effects of Oil Price Changes on Inflation.” Procedia Economics and Finance 26: 630–636. doi:https://doi.org/10.1016/S2212-5671(15)00800-X.
   Google Scholar
• Shin, Y., B. Yu, and M. Greenwood-nimmo. 2014. “Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework.” Festschrift in Honor of Peter Schmidt, no. Springer.281-314.
   Google Scholar
• Tiwari, A. K., J. Cunado, A. Hatemi-J, and R. Gupta. 2019. “Oil Price-inflation Pass-through in the United States over 1871 to 2018: A Wavelet Coherency Analysis.” Structural Change and Economic Dynamics 50: 51–55. doi:https://doi.org/10.1016/j.strueco.2019.05.002.
   Web of Science ®Google Scholar
• Toda, H. Y., and T. Yamamoto. 1995. “Statistical Inference in Vector Autoregressions with Possibly Integrated Processes.” Journal of Econometrics 66 (1–2): 225–250. doi:https://doi.org/10.1016/0304-4076(94)01616-8.
   Web of Science ®Google Scholar
• Wen, F., K. Zhang, and X. Gong. 2021. “The Effects of Oil Price Shocks on Inflation in the G7 Countries.” The North American Journal of Economics and Finance 57: 101391. doi:https://doi.org/10.1016/j.najef.2021.101391.
   Web of Science ®Google Scholar
• Yang, L., X. J. Cai, and S. Hamori. 2017. “Does the Crude Oil Price Influence the Exchange Rates of Oil-importing and Oil-exporting Countries Differently ? A Wavelet Coherence Analysis.” International Review of Economics & Finance 49: 536–547. doi:https://doi.org/10.1016/j.iref.2017.03.015.
   Web of Science ®Google Scholar
• Zhao, L., X. Zhang, S. Wang, and S. Xu. 2016. “The Effects of Oil Price Shocks on Output and Inflation in China.” Energy Economics 53: 101–110. doi:https://doi.org/10.1016/j.eneco.2014.11.017.
   Web of Science ®Google Scholar
• Zheng, Y., M. Zhou, and F. Wen. 2021. “Asymmetric Effects of Oil Shocks on Carbon Allowance Price: Evidence from China.” Energy Economics 97: 105183. doi:https://doi.org/10.1016/j.eneco.2021.105183.
   PubMed Web of Science ®Google Scholar