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The impact of oil prices on products groups inflation: is the effect asymmetric?

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Topan, Ligia Elena and Jerez Méndez, Miguel and Sotoca López, Sonia (2020) The impact of oil prices on products groups inflation: is the effect asymmetric? [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 02, 2020, ISSN: 2341-2356 ]

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Abstract

In this paper we assess the oil price pass-through into both, the global inflation in Spain and the inflation derived from the non-deterministic prices of the standard European classification of product groups, during the period 2002-2018. To this end we fit a transfer function to inflation in each group, extended to allow for an asymmetry in the transmission of positive/negative oil cost shocks, that is, a “rockets and feathers effect”. Our results show that most often there is a significant asymmetry, which can be explained by the degree of competition in each market.


Item Type:Working Paper or Technical Report
Additional Information:

This research was supported by Complutense University of Madrid and Santander Bank programme CT17/17 - CT18/17. We thank these institutions for providing funding for our project. We would also like to show our gratitude to The Economic Analysis and Quantitative Economy Department and Complutense Institute of Economic Analysis, for all the support.

Uncontrolled Keywords:Oil price, Products groups inflation, Asymmetric effects, Transfer function.
Subjects:Social sciences > Economics > Macroeconomics
Social sciences > Economics > Industrial organization
Series Name:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2020
Number:02
ID Code:59973
Deposited On:16 Apr 2020 11:05
Last Modified:17 Apr 2020 08:09

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