Oil price-inflation pass-through in OECD countries The role of asymmetries, impact of global financial crisis and forecast evaluation
Oil price-inflation pass-through in OECD countries The role of asymmetries, impact of global financial crisis and forecast evaluation
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DOI：
10.1108/ijesm-02-2019-0013
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发表时间：
2020-01-06
影响因子：
3.1
通讯作者：
Adebiyi, Anthony Noah
中科院分区：
文献类型：
--
作者：
Adekoya, Oluwasegun Babatunde;Adebiyi, Anthony Noah
研究目的本文旨在评估经济合作与发展组织（OECD）国家石油价格与通货膨胀之间的关系。这篇论文以多种方式对知识做出了贡献。设计/方法/方式首先，我们进行了比较分析的发达国家和发展中国家的经合组织。第二，我们检查2008年的全球金融危机（GFC）是否改变了油价与通货膨胀的关系。我们进一步扩展我们的分析，以捕捉非线性自回归分布滞后模型的不对称性。最后，我们使用坎贝尔和汤普森（2008）预测评估测试来比较评估对称（限制）和非对称（非限制）模型的预测能力。结果-我们的研究结果表明，不对称的问题，在油价通胀的关系。此外，2008年全球金融危机对发达国家的影响在短期内更大，对发展中国家的影响在长期内更大。最后，考虑到石油价格的不对称性，可以更好地预测这两组国家的通货膨胀。独创性/价值-本文增加了一些有趣的创新，在经合组织国家的油价-通货膨胀的关系。这是在发达国家和发展中国家两种分类下对这类国家组进行的范围最广的研究。它还灌输了不对称性，金融危机，以及石油价格对通货膨胀的预测能力的作用。
Purpose This paper aims to assess the relationship between oil price and inflation in the Organization for Economic Co-operation and Development (OECD) countries. This paper contributes to knowledge in a number of ways. Design/methodology/approach First, we carry out a comparative analysis between the developed and developing countries of the OECD. Second, we check if the global financial crisis (GFC) of 2008 altered the oil price-inflation relationship. We further extend our analysis to capture asymmetries using the non-linear autoregressive distributed lag model. Lastly, we use the Campbell and Thompson (2008) forecast evaluation test to comparatively assess the predictive ability of the symmetric (restricted) and asymmetric (unrestricted) models. Findings Our results show that asymmetries matter in the oil price-inflation nexus. Also, the effect of the GFC of 2008 is stronger for the developed countries in the short run, and the developing countries in the long run. Lastly, accounting for asymmetries in oil price yields a better forecast for inflation in both groups. Originality/value The paper adds some interesting innovations to the oil price-inflation relationship in the OECD countries. It is the study with the widest scope for such country group under two classifications of developed and developing countries. It also inculcates the role of asymmetries, financial crisis, as well as the predictive ability of oil price on inflation.