DO OIL PRICE FLUCTUATIONS AFFECT THE INFLATION RATE IN INDONESIA ASYMMETRICALLY?

2020 ◽  
pp. 1-21
Author(s):  
LIM THYE GOH ◽  
SIONG HOOK LAW ◽  
IRWAN TRINUGROHO
Keyword(s):  
Inflation Targeting ◽  
Inflation Rate ◽  
Oil Price ◽  
Production Costs ◽  
Price Reduction ◽  
Producer Price ◽  
Price Fluctuations ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run

Changes in the oil price directly affect production costs, and subsequently, the general price level of products. With Indonesia observing an inflation targeting policy, this study applies the nonlinear autoregressive distributed lag (NARDL) technique to investigate the effect of oil price fluctuations in Indonesia. The relationship is important for the central bank to gauge the effectiveness of the inflation targeting policy in immunizing the country from oil price fluctuations. Our findings have revealed that there was an asymmetric behavior between oil price and the inflation rate (producer price index), thus questioning the effectiveness of the inflation targeting policy. More specifically, in the long run, an increase in the oil price will tend to lead to an increase in the rate of inflation with a greater deviation, while an oil price reduction will lead to a decrease in the inflation rate with a lower deviation. This suggests that the benefits of an oil price reduction are not passed down to the consumer.

scholarly journals Impact of Oil Price Fluctuations on Omani Narrow Money Supply (M1) - (1980-2016)

2019 ◽  
Vol 5 (10) ◽  
Author(s):  
Bilal Khlaf Al Omari ◽  
Mr. Abubakar El-Sidig Ali Ahmed
Keyword(s):  
Money Supply ◽  
Oil Prices ◽  
Oil Price ◽  
Strongly Correlated ◽  
Price Fluctuations ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Lag Model

The Omani economy frequently moves in unison with changing oil prices because it is highly dependent on this commodity. Given this relationship, it is reasonable to theorize that the Omani narrow money supply (M1) is also sensitive to oil price fluctuations. This study examines the linkages between oil price changes and the M1 money supply in Oman for the period 1980 to 2016 and analyzes the nature of discovered relationships. An autoregressive distributed lag model is used to test the relationship between Omani oil price fluctuations and the money supply over time from 37 annual observations. This study finds that changes in oil prices and the M1 money supply are strongly correlated in the long run, which has implications for policymakers looking to diversify the Omani economy.

scholarly journals Inflation Expectations in Turkey: Determinants and Roles in Missing Inflation Targets

2018 ◽  
Vol 7 (3) ◽  
pp. 73-90 ◽  
Author(s):  
Umit Bulut
Keyword(s):  
Exchange Rate ◽  
Inflation Targeting ◽  
Inflation Rate ◽  
Oil Price ◽  
Output Gap ◽  
Inflation Expectations ◽  
Inflation Target ◽  
Distributed Lag ◽  
Expected Inflation ◽  
Target Output

Abstract This paper aims at specifying the determinants of 12-month ahead and 24-month ahead inflation expectations in Turkey by using monthly data from April 2006 to December 2016. Put differently, this paper tries to shed light on how inflation expectations respond to changes in past inflation rate, inflation target, output gap, USD/TL exchange rate, oil price, and EMBI in Turkey. To this end, the paper first conducts unit root tests in order to detect the order of integration of the variables. Then, the paper employs the autoregressive distributed lag approach to examine whether there is a cointegration relationship among variables and to estimate long-run parameters. According to the findings, 12-month ahead expected inflation rate is positively related to past inflation rate, inflation target, output gap, USD/TL exchange rate, and oil price and is negatively related to EMBI. Besides, 24-month ahead expected inflation rate is positively related to past inflation rate and USD/TL exchange rate and is negatively related to inflation target and EMBI. Upon its findings, the paper makes some inferences about the success of inflation targeting strategy in Turkey.

scholarly journals Oil Price, Energy Consumption, and CO2 Emissions in Turkey. New Evidence from a Bootstrap ARDL Test

Energies ◽  
2020 ◽  
Vol 13 (21) ◽  
pp. 5588
Author(s):  
Mohammed Abumunshar ◽  
Mehmet Aga ◽  
Ahmed Samour
Keyword(s):  
Renewable Energy ◽  
Energy Consumption ◽  
Co2 Emissions ◽  
Carbon Emissions ◽  
Oil Prices ◽  
Oil Price ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Imported Oil

The main objective of this research was to test the effect of oil prices, renewable and non-renewable energy consumption, and economic growth on Turkey’s carbon emissions by using three co-integration tests, namely, the newly-developed bootstrap autoregressive distributed lag (ARDL) testing technique as proposed by (McNown et al., 2018); the new approach involving the Bayer–Hanck (2013) combined co-integration test; and the H-J (2008) co-integration technique, which induces two dates of structural breaks. The autoregressive distributed lag model (ARDL), dynamic ordinary least squares (DOLS), canonical cointegrating regression (CCR), and fully modified ordinary least square (FMOLS) approaches were utilized to test the long-run interaction between the examined variables. The Granger causality (GC) analysis was utilized to investigate the direction of causality among the variables. The long-run coefficients of ARDL, DOLS, CCR, and FMOLS showed that the oil prices had a negative influence on CO2 emissions in Turkey in the long run. Furthermore, the findings demonstrate that non-renewable energy, which includes oil, natural gas, and coal, increased CO2 emissions. In contrast, renewable energy can decrease the environmental pollution. These empirical findings can be attributed to the fact that Turkey is heavily dependent on imported oil; more than 50% of the energy requirement has been supplied by imports. Hence, oil price fluctuations have severe effects on the economic performance in Turkey, which in turn affects energy consumption and the level of carbon emissions. The study suggests that the rate of imported oil in Turkey must be decreased by finding more renewable energy sources for the energy supply formula to avoid any undesirable effects of oil price fluctuations on the CO2 emissions, and also to achieve sustainable development.

scholarly journals The validity of the Fisher effect for an inflation targeting country

2021 ◽  
Vol 72 (5) ◽  
pp. 697-717
Author(s):  
Sinem Pınar Gürel
Keyword(s):  
Interest Rates ◽  
Inflation Targeting ◽  
Fisher Effect ◽  
Government Bonds ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Turkish Economy ◽  
Inflation Rates ◽  
Short Run

The aim of this paper is to investigate the relationship between interest and inflation rates. In this regard, the validity of the Fisher Effect under an inflation targeting regime country is examined by considering the possibility of non-linearities. To this aim, the Fisher Effect is analysed by using various types of interest rates to identify the short-, mid- and long-term dynamics. Autoregressive distributed lag (ARDL) and non-linear autoregressive distributed lag (NARDL) models were estimated for Turkish economy between 2006-2019 periods. The empirical findings of ARDL models reveal the validity of Fisher Effect both for short and long run. The results of NARDL models indicate a strong Fisher Effect in the long run, except for 5-year government bonds. For short-run, the Fisher Effect holds only when inflation rises and there is no significant result when inflation decreases.

scholarly journals The impact of minimum wage on unemployment, prices, and growth: A multivariate analysis for Turkey

2019 ◽  
Vol 64 (221) ◽  
pp. 65-83
Author(s):  
Biçerli Kemal ◽  
Merve Kocaman
Keyword(s):  
Error Correction ◽  
Minimum Wage ◽  
Causality Test ◽  
Producer Price ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Turkish Economy ◽  
Short Run ◽  
The Impact

The aim of this study is to research the impact of minimum wage on unemployment, prices, and growth for the Turkish economy. The data used is monthly and covers the period from January 2005 to March 2017. The producer price index represents prices and the industrial production index represents growth. The Autoregressive Distributed Lag (ARDL) model is used to see the effect of the minimum wage on these variables. An error-correction based Granger causality test is then conducted to see short-run and long-run causalities. The bounds test yields evidence of a long-run relationship between variables. The obtained ARDL results also show that while the minimum wage has a statistically significant effect on unemployment and prices, it does not have a statistically significant effect on production. While there is short-run causality from minimum wage to prices only, the obtained significant error correction terms indicate long-run causality for all of the variables. Consequently, the minimum wage plays a significant role in increasing prices and the number of unemployed people in Turkey.

scholarly journals Fiscal Policy and Sustainability of Public Debt: The Nigerian Experience

2021 ◽  
Author(s):  
ANTHONY IMOISI
Keyword(s):  
Fiscal Policy ◽  
Public Debt ◽  
Inflation Rate ◽  
Allocative Efficiency ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
Sustainability Of Public Debt ◽  
The Relationship

Abstract This paper examines the relationship between fiscal policy and public debt sustainability in Nigeria within a multivariate framework from 1970–2019. The autoregressive distributed lag (ARDL) bounds test is employed to determine the long run relationship among the variables. The results of the ARDL test reveal that there is a long run relationship between the variables used in this study. Specifically, the result shows that budget deficit has a positive and significant impact on public debt both in the short run and long, while interest rate, real gross domestic product and inflation rate were statistically insignificant irrespective of the period and thus had no impact on public debt. Thus, it was recommended that the budgeting procedure at the federal and state levels in Nigeria need to reassessed to make sure that allocative efficiency is achieved in the budgeting system.

scholarly journals Investigating the Nexus between Productivity and Export Performance of Pakistan

2018 ◽  
Vol III (II) ◽  
pp. 94-104
Author(s):  
Asma Saeed ◽  
Zahoor Ul Haq ◽  
Javed Iqbal
Keyword(s):  
Positive Impact ◽  
Export Performance ◽  
Secondary Data ◽  
Production Costs ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Manufacturing Sectors ◽  
Bound Test ◽  
Ardl Bound Test

An increase in productivity has been associated with better export performance by increasing the efficiency of the factors of production. Further, productivity leads to a reduction in production costs and an increase in comparative advantage in the international market. In this study, the Autoregressive distributed lag (ARDL) bound test is used to investigate the nexus between productivity and export performance of agricultural and manufacturing sectors of Pakistan. The study uses secondary data from 1990 to 2016 to estimate the total factor productivity (TFP) and then uses it as a proxy of productivity. Our results show that TFP and gross domestic product (GDP) have a significant and positive impact on the export performance of Pakistan. Foreign direct investment (FDI), real exchange rate and cost to export are found to be negatively related to Pakistans export performance. In the long run, both the sectors (agricultural and manufacturing) need improvement in productivity in order to be competitive in intentional markets.

scholarly journals The impacts of oil price on exchange rates: Evidence from Saudi Arabia

2020 ◽  
Vol 38 (5) ◽  
pp. 2037-2058
Author(s):  
Tilal Hassen Mohammed Suliman ◽  
Mehdi Abid
Keyword(s):  
Saudi Arabia ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Causal Relationship ◽  
Real Exchange Rates ◽  
Oil Price ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Long Run

The real exchange rate is a key indicator of a country’s trade competitiveness in the world. This paper investigates the interaction between oil price and real exchange rates in Saudi Arabia during the period January 1986 -March 2019, using monthly data. This study uses the autoregressive distributed lag model and the error correction model in order to investigate the existence of a long-run equilibrium relationship between the variables. The evidence reveals that there is a strong long-run cointegration. The robustness of the autoregressive distributed lag bounds test cointegration was confirmed using the newly developed combined cointegration, which also provided the same evidence for a strong long-run relationship. In the short term, the results confirm the existence of a unidirectional causal relationship ranging from the oil price to the exchange rate. In the long term, however, the causal relationship is bidirectional between these two variables. An appreciation of the Saudi exchange rate generates an increase in the relative demand for oil, which in turn creates upward pressure on its price. For policy purposes, such evidence suggests that Saudi Arabia should be careful not to put too much weight on the benefits of higher revenue due to higher oil price.

scholarly journals The Asymmetric Impact of Oil Price and Electricity Consumption on Economic Growth: Evidence from Nigeria

2021 ◽  
Vol 9 (1) ◽  
pp. 50-70
Author(s):  
Adedayo Emmanuel Longe ◽  
Taiwo Matthew Adekoya ◽  
Caleb Olugbenga Soyemi ◽  
David Adeiza Agbanuji ◽  
Idowu Jacob Adekomi
Keyword(s):  
Economic Growth ◽  
Electricity Consumption ◽  
Capital Formation ◽  
Oil Price ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
Asymmetric Impact ◽  
The Impact

Abstract The study examines the asymmetric impact of oil price and electricity consumption on economic growth in Nigeria between 1981 and 2018 using the Non-Linear Autoregressive Distributed Lag (NARDL) model. Results reveal that falling and increasing oil prices as well as gross capital formation affect economic growth in Nigeria negatively and significantly in the short-run, while electricity consumption affects economic growth positively and significantly in the short-run. In the long-run, the impact on economic growth of negative changes in oil price is negative and insignificant, while positive changes in oil price have a positive but insignificant impact on economic growth. The impact on the economic growth of electricity consumption remains positive but insignificant while that of gross capital formation is positive and significant. The results suggest that both in the short and the long run positive changes in oil price have greater impact on the economic growth than negative oil price changes. Capital formation is a significant determinant of Nigerian economic growth both in the short and the long run.

The Impacts of Oil Price Shocks on Tourism Receipts for Selected Middle East and North Africa (MENA) Countries: Do Structural Breaks Matter?

2020 ◽  
Vol 25 (4) ◽  
pp. 383-394
Author(s):  
Khalid M. Kisswani ◽  
Amjad M. Kisswani ◽  
Arezou Harraf
Keyword(s):  
Structural Breaks ◽  
Empirical Work ◽  
Oil Prices ◽  
Oil Price ◽  
Mena Countries ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Negative Effect ◽  
Bounds Test

One of the short comings in the tourism literature is that research on the oil price–tourism receipts nexus is limited. However, the available studies, to the best of our knowledge, provide limited evidence on the negative effect of oil prices on tourism receipts. Nevertheless, the related literature did not consider the structural breaks in the analysis, which has proven to be important in the empirical work. As such, in this article we study the oil price–tourism receipts nexus for selected MENA countries in the presence of structural breaks. This is done by adopting the autoregressive distributed lag (ARDL) bounds test and incorporating the structural breaks. The findings show that the bounds test provides evidence of a long-run relationship between tourism receipts and oil prices after integrating structural breaks into the ARDL model for most countries.

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