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ID: 117923

Oil price shocks and producer prices in Taiwan: an application of non-linear error-correction models / Chou, Kuo-Wei; Lin, Po-Chun

Chou, Kuo-Wei	Journal Article
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2013.

Summary/Abstract

This study estimated the short-term and long-term pass-through effects of oil prices on inflation in Taiwan from 1981M1-2011M5, employing the producer price general index and various basic sub-indices for evaluation. The empirical results show that oil prices have long-term and short-term pass-through effects on Taiwan's producer price indices. Moreover, producer prices have significant non-linear error-correction relationships with the oil price, output and wages, suggesting asymmetric and time-variant properties of error correction. When the deviation of price in the equilibrium is greater, the error-correction adjustment will be faster. Our findings could therefore enable the monetary authorities and manufacturers to formulate a more effective policy from the oil price shocks.

Key Words

Oil Prices ; PPI Inflation ; Pass - Through ; Non - Linear Error Correction ; Augmented Phillips Curve

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ID: 137728

Systemic risk; contagion; energy sector; OTC commodity derivatives; EMIR / Bagnai, Alberto; Ospina, Christian Alexander Mongeau

Bagnai, Alberto	Article
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Summary/Abstract

Using monthly data from 1994 to 2013 we study the long-run relation of the pre-tax retail prices of gasoline with crude price and the nominal exchange rate. We find a strongly significant long-run relation. We then use the nonlinear ARDL (NARDL) model to assess the asymmetries on both the short- and long-run elasticities, as well as the presence of hysteresis in the pricing behaviour. The estimation results confirm the presence of asymmetry in the long-run elasticities, with significant differences between the crude price and the exchange rate, as well as the presence of hysteresis in the relation between the retail price of gasoline and crude oil price.

Key Words

Exchange Rate ; Energy Prices ; Hysteresis ; Pass - Through ; Asymmetric Cointegration ; Asymmetric Price Adjustment

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