Effects of oil shocks and central bank credibility on price diffusion

Helder de Mendonça () and Pedro Mendes Garcia

International Review of Economics & Finance, 2023, vol. 84, issue C, 304-317

Abstract: This paper investigates the effects of international oil price pass-through and the central bank credibility on the diffusion of price increases among consumer prices. We use data that permit us to consider the international oil price pass-through and calculate the price diffusion index and central bank credibility indexes for nineteen countries from 2002 to 2019. The findings show that both the international oil price pass-through and the central bank credibility are relevant in explaining the price diffusion. The dynamic effects of oil price pass-through and credibility on price diffusion are long-lasting. Moreover, our results point out an asymmetry in the effect of increases and decreases in the oil price.

Keywords: Oil price pass-through; Central bank credibility; Price diffusion (search for similar items in EconPapers)
JEL-codes: E31 E52 Q43 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:84:y:2023:i:c:p:304-317

DOI: 10.1016/j.iref.2022.11.025

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