Geopolitical oil price uncertainty transmission into core inflation: Evidence from two of the biggest global players
Yükleniyor...
Tarih
2023
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier
Erişim Hakkı
info:eu-repo/semantics/embargoedAccess
Özet
This research argues that inflation indirectly correlates with geopolitics through the oil markets. The argument is
that uncertainties generated by geopolitics are often transmitted into core inflation through oil prices, and we
provide empirical evidence to support this by establishing an uncertainty-oil-macroeconomy nexus for the
biggest oil importing countries, the U.S. and China. The study specifically examines whether there are indirect
contributions of geopolitical oil price uncertainty to inflation that appear in core inflation, excluding the more
volatile food and energy prices. It employs a non-parametric quantile causality technique for analyzing how
geopolitical oil price uncertainty and core inflation interact in both countries and conducts rolling windows based non-parametric quantile causality analysis for robustness. The full-time non-parametric quantile causal ity results show that geopolitical oil price risk strongly affects core inflation both in mean and variance, espe cially in the mid-quantiles, and that its effect is greater in variance relative to mean for both countries. The
rolling windows-based outcomes indicate that geopolitical oil price risk exerts an increasing influence on core
inflation during important geopolitical events such as the Euro crisis, Brexit, presidential elections, trade wars,
and COVID-19, and these impacts differ not only between countries, but also according to whether causality is
mean or variance. Finally, the significance of the findings is discussed.
Açıklama
Anahtar Kelimeler
China, Core inflation, Geopolitical oil price risk, Non-parametric quantile causality, Rolling windows, United States
Kaynak
Energy Economics
WoS Q Değeri
Q1
Scopus Q Değeri
N/A
Cilt
126
