Asymmetric Oil Price Pass-Through to Disaggregate Consumer Prices in Emerging Market: Evidence from Indonesia

Agus Widarjono and Abdul Hakim
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Agus Widarjono: Department of Economics, Universitas Islam Indonesia, Yogyakarta, Indonesia.

International Journal of Energy Economics and Policy, 2019, vol. 9, issue 6, 310-317

Abstract: This study investigates the inflationary asymmetric effects of oil prices at disaggregate consumer prices for Indonesia using Non-linear Autoregressive Distributed Lag model (NARDL). The bound tests for cointegration affirm the existence of a long-run relationship between oil prices and the aggregate consumer price (CPI) and its all sub-components. With the exception of the education price index, our results suggest the asymmetric effect of oil price on all sub-components of CPI. The degree of oil price pass-through is an incomplete degree but varied among sub-components of CPI and is attributed to energy-related goods and services. The highest degree of oil price pass-through is foodstuffs price index, followed by the transportation price index. We also find the positive degree of oil price pass-through to disaggregate consumer price is higher than the negative degree of oil price oil pass-through to disaggregate consumer price.

Keywords: Oil price; Disaggregate consumer prices; NARDL; Indonesia (search for similar items in EconPapers)
JEL-codes: C22 E31 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ2:2019-06-36

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