Cointegration Analysis of Oil Prices and Consumer Price Index in South Africa using STATA Software

Mphumuzi Sukati

MPRA Paper from University Library of Munich, Germany

Abstract: This paper investigates the concept of vector autoregression (VAR) and cointegration using a bivariate model of global oil prices and headline Consumer Price Index (CPI) in South Africa. The study aims to determine how much of inflation is driven by oil prices. Particular attention is paid to the theoretical underpinnings of cointergration analysis and the application of STATA software to undertake such analysis and perform test statistics. Contrary to the popular myth that a rise in global oil prices fuels inflation, this study has observed that global oil prices are not the drivers of inflation in South Africa. In this way, other macroeconomic indicators and policy developments need to be integrated in analyzing the determinants of South African inflation.

Keywords: Consumer Price Index; Oil Prices; Vector Autoregression; Cointegration; STATA Software; South Africa (search for similar items in EconPapers)
JEL-codes: E51 E6 E64 E65 (search for similar items in EconPapers)
Date: 2013-09-13
New Economics Papers: this item is included in nep-afr, nep-ene and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:49797

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