Macroeconomic Response to Oil and Food Price Shocks: A Structural VAR Approach to the Indian Economy

Bhat, Javed Ahmad; Ganaie, Aadil Ahmad; Sharma, Naresh

doi:10.1080/10168737.2018.1446038

Cited by 19 publications

(16 citation statements)

References 56 publications

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“…Finally, the fourth row corresponding to the domestic food inflation, FINF, assumes that it is contemporaneously responsive to its own shocks and those of FP, COP, and ER. In fact, our restrictions made on the system parameters look like those assumed by Bhat et al (2018).…”

Section: Methodsmentioning

confidence: 99%

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

Ghin¹,

El-Karimi²

2020

New Medit

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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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Section: Methodsmentioning

confidence: 99%

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

Ghin¹,

El-Karimi²

2020

New Medit

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“…The more common approach used in this framework is the impulse response analysis (e.g. Alom et al, 2013;Bhat et al, 2018;Jongwanich and Park, 2011;Khan and Ahmed, 2014;Misati et al, 2013;Osorio and Unsal, 2013). However, it covers only the effect of shocks up to 10 time lags (months or quarters).…”

Section: Empirical Reviewmentioning

confidence: 99%

“…Some other studies uses conventional tests to analyze the Granger causality and/or co-integration in the time-domain framework (e.g. Alom et al, 2013;Bhat et al, 2018;Misati et al, 2013). Although the Granger causality analysis in the time domain provides useful information about the effect of commodity prices on inflation, it offers no clear explanation of 'short-run' and 'long-run'.…”

Section: Empirical Reviewmentioning

confidence: 99%

“…A number of studies emphasized asymmetric effects of oil and food price shocks on consumer prices (e.g. Alom et al, 2013;Belke and Dreger, 2015;Bhat et al, 2018;Khan and Ahmed, 2014). Therefore, we consider increases and decreases in each oil price and food price following Hamilton (1996) measure 6 to derive the two-quarter net oil price increase (NOPI) and net oil price decrease (NOPD) 7 :…”

Section: Data Descriptionmentioning

confidence: 99%

“…However, Hamilton (1996) show that his proposed measure is more pertinent by making a comparison between the two measures. Hamilton (1996) approach is also adopted in Bhat et al (2018) and Alom et al (2013). 7 The use of net increase and net decrease for more of two quarters provides a time series where the number of the values different from zero is very negligible, which cannot allow the causality analysis in frequency domain giving pertinent results.…”

Section: Annexmentioning

confidence: 99%

See 2 more Smart Citations

The Transmission of Global Commodity Prices to Consumer Prices in a Commodity Import-Dependent Country: Evidence from Morocco

Tarta

Plăiaş

Martinez

et al. 2020

SAEB

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This paper uses the Breitung and Candelon (2006) causality test to examine the effect of global oil and food price changes on the inflation in Morocco over the period from 1998Q1 to 2018Q1. The results show significant transmission from oil and food prices to domestic inflation. Specifically, the food prices are shown more important than oil prices in explaining inflation in the short-run, which reflects the high weight of food in the consumption basket. However, the effect of oil prices on inflation is much more persistent than the effect of food prices. Furthermore, the impact of commodity price shocks on inflation exhibits asymmetries. The oil price hikes affect more weakly the inflation than oil price decreases, whereas the food price increases are more transmitted to inflation than food price decreases. Our findings may provide useful information to researchers and policymakers in formulating more appropriate monetary policy.

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Do fluctuations in global crude oil prices have an asymmetric effect on oil product pricing in India?

Deheri,

Carmel

2024

Econ Change Restruct

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Macroeconomic Response to Oil and Food Price Shocks: A Structural VAR Approach to the Indian Economy

Cited by 19 publications

References 56 publications

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

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

The Transmission of Global Commodity Prices to Consumer Prices in a Commodity Import-Dependent Country: Evidence from Morocco

Do fluctuations in global crude oil prices have an asymmetric effect on oil product pricing in India?

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