Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2018.1429292
Asymmetric and nonlinear pass-through of global crude oil price to China’s PPI and CPI inflation
Shaobo Long
; School of Public Affairs, Chongqing University, Chongqing, China; Research Centre for Public Economy & Public Policy, Chongqing University, Chongqing, China
Jun Liang
; School of Economics, Renmin University, Beijing, China
Sažetak
With China’s expanding import demand of crude oil and the gradually
relaxing regulation of domestic oil prices, the global oil price is likely
to affect China’s price level more closely. Based on an augmented
Phillips curve framework, this article employs both the autoregressive
distribution lag (ARDL) and nonlinear and asymmetric autoregressive
distribution lag (NARDL) model to investigate pass-through effects of
crude oil price on China’s producer prices index (PPI) and consumer
prices index (CPI) in China. It is found that the impact of global oil
price fluctuations to China’s PPI and CPI are asymmetrical in the longrun,
and the long-term impacts of the rise in global oil prices on PPI
and CPI are greater than the global oil price decline on PPI and CPI.
However, the symmetric ARDL model fails to diagnose the impact of
oil price to China’s PPI and CPI. Therefore, it is necessary to consider
asymmetric relationship in the study of global oil price’s influence on
China’s domestic prices.
Ključne riječi
Crude oil prices; asymmetric pass-through; producer prices index (PPI); consumer prices index (CPI); inflation
Hrčak ID:
200665
URI
Datum izdavanja:
3.12.2018.
Posjeta: 1.609 *