Pass through effects of oil price on food and non-food prices in Pakistan: A nonlinear ARDL approach

2020 ◽  
Vol 69 ◽  
pp. 101876
Author(s):  
Muhammad Nadeem Sarwar ◽  
Hamid Hussain ◽  
Muhammad Bilal Maqbool
Keyword(s):  
Food Prices ◽  
Oil Price ◽  
Nonlinear Ardl ◽  
Ardl Approach ◽  
Pass Through

scholarly journals Does Oil Price Drive World Food Prices? Evidence from Linear and Nonlinear ARDL Modeling

Economies ◽  
2019 ◽  
Vol 7 (1) ◽  
pp. 12 ◽  
Author(s):  
Mourad Zmami ◽  
Ousama Ben-Salha
Keyword(s):  
Commodity Prices ◽  
Food Prices ◽  
Food Price ◽  
Oil Price ◽  
Agricultural Commodity ◽  
Distributed Lag ◽  
Nonlinear Ardl ◽  
Long Run ◽  
Linear And Nonlinear ◽  
The Impact

The macroeconomic outcomes of oil price fluctuations have been at the forefront of the debate among economists, financial analysts and policymakers over the last decades. Among others, the oil price–food price nexus has particularly received a great deal of attention. While an abundant body of literature has focused on the linear relationship between oil price and food price, little is known regarding the nonlinear interactions between them. The aim of this paper is to conduct aggregated and disaggregated analyses of the impact of the Brent and West Texas Intermediate (WTI) oil prices on international food prices between January 1990 and October 2017. The empirical investigation is based on the estimation of linear and nonlinear autoregressive distributed lag (ARDL) models. The findings confirm the presence of asymmetries since the overall food price is only affected by positive shocks on oil price in the long-run. While the dairy price index reacts to both positive and negative changes of oil price, the impact of oil price increases is found to be greater. Finally, the asymmetry is present for some other agricultural commodity prices in the short-run, since they respond only to oil price decreases. All in all, the study concludes that studies assuming the presence of a symmetric impact of oil price on food price might be flawed. The findings are important for the undertaking of future studies and the design of international and national policies in the fight against food insecurity.

Asymmetric oil price and Asian economies: A nonlinear ARDL approach

Energy ◽  
2021 ◽  
Vol 219 ◽  
pp. 119594
Author(s):  
Salah A. Nusair ◽  
Dennis Olson
Keyword(s):  
Oil Price ◽  
Nonlinear Ardl ◽  
Ardl Approach ◽  
Asian Economies

scholarly journals Effect of oil price pass-through on domestic price inflation: Evidence from nonlinear ARDL models

2019 ◽  
Vol 66 (1) ◽  
pp. 69-91 ◽  
Author(s):  
Kun Sek
Keyword(s):  
Consumer Price Index ◽  
Oil Price ◽  
Asymmetric Effect ◽  
Price Inflation ◽  
Price Changes ◽  
Producer Price ◽  
Nonlinear Ardl ◽  
Consumer Prices ◽  
Domestic Prices ◽  
Pass Through

We intended to demonstrate that oil price can have a different passthrough effect into domestic prices at consumer and production levels subject to an oil dependency factor. The results were compared between oil-importing and oil-exporting countries. The nonlinear autoregressive distributed lags (NARDL) models were used to capture the asymmetric pass-through effects of oil price increases and decreases in consumer price and producer price respectively. Our results revealed that oil price changes can have asymmetric effect on consumer price index (CPI) inflation directly and indirectly with more influential impact of indirect effect. This result holds for both groups of countries. The effect on producer price is much larger especially in oil-importing group due to the high dependence of these countries on oil. Oil price changes did lead to increases in consumer prices in oil-importing countries. This may due to effective monetary policy that enhances price stickiness in the economy.

Oil-food price dynamics in an oil-dependent emerging economy

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Opeoluwa Adeniyi Adeosun ◽  
Olaolu Richard Olayeni ◽  
Olumide Steven Ayodele
Keyword(s):  
Inflation Targeting ◽  
Food Prices ◽  
Food Price ◽  
Oil Price ◽  
Price Dynamics ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Content Type ◽  
Pass Through

Purpose This paper aims to examine the transmission from oil price to local food price returns in Nigeria from January 1995 to May 2019. Design/methodology/approach To circumvent erratic behaviours and account for possibilities of noises at the edge of the wavelet signals, the paper combines wavelet and Markov-switching techniques to determine the significance and magnitude of oil–food price dynamics across different time scales. Findings It is shown that oil to food price pass-through changed across frequencies. Notably, results reveal a swift pass-through which signals the dominance of the direct effect of oil price shocks on food prices with evidence of weak spillover in the short term. The medium- and long-term horizons witness the dominance of the indirect effect of oil price shocks with much sluggish transmission to food prices; the highest significant pass-through of about 4% are also observed when the oil price is denominated in the naira–USD exchange rate. Originality/value The study improves understanding of the relationship between oil price shocks and domestic food price returns. It shapes policy prescription on appropriate inflation targeting strategies of monetary authorities.

Global Food Commodity Prices and Domestic Food Inflation: Some Insights from Morocco

New Medit ◽  
2020 ◽  
Vol 19 (3) ◽  
Author(s):  
Ahmed EL GHIN ◽  
Mounir EL-KARIMI
Keyword(s):  
Exchange Rate Regime ◽  
Commodity Prices ◽  
Food Prices ◽  
Consumer Prices ◽  
Floating Exchange Rate ◽  
Pass Through ◽  
The Impact ◽  
Food Inflation ◽  
Global Food ◽  
Domestic Food

This paper examines the world commodity prices pass-through to food inflation in Morocco, over the period 2004-2018, by using Structural Vector Autoregression (SVAR) model on monthly data. Several interesting results are found from this study. First, the impact of global food prices on domestic food inflation is shown significant, which reflects the large imported component in the domestic food consumption basket. Second, the transmission effect is found to vary across commodities. Consumer prices of cereals and oils significantly and positively respond to external price shocks, while those of dairy and beverages are weakly influenced. Third, there is evidence of asymmetries in the pass-through from world to domestic food prices, where external positive shocks generate a stronger local prices response than negative ones. This situation is indicative of policy and market distortions, namely the subsidies, price controls, and weak competitive market structures. Our findings suggest that food price movements should require much attention in monetary policymaking, especially that the country has taken preliminary steps towards the adoption of floating exchange rate regime.

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