Time-Varying Impact of Commodity Prices on Output Growth and Inflation in the Eastern European Countries
Roman Kopych,
Viktor Shevchuk
Abstract:Using quarterly data for the 2002–2022 period, we estimate the output and inflation effects of several commodity prices (agricultural raw materials, crude oil, and metals) for 8 Eastern European countries with different exchange rate regimes. The Kalman filter is used for estimating the time-varying parameters. Our main findings can be summarized in the following way: (i) higher crude oil prices are inflationary in most of the countries (except Slovakia), with a stronger price effect since 2020; (ii) crude oil… Show more
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