The Effects of Oil Price Shocks on IIP and CPI in Emerging Countries

Yukino Sakashita and Yasunori Yoshizaki
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Yukino Sakashita: International and Development Economics, Yale University, New Haven, CT 06511, USA

Economies, 2016, vol. 4, issue 4, 1-9

Abstract: In this paper, we investigate the effects of oil price shocks on the production and price level in five emerging countries through comparison with the United States, using a two-block structural VAR model of the global crude oil market proposed by Kilian and Park (see International Economic , vol. 50, 2009, pp. 1267–1287). Our main finding is that the effect of oil price shocks on the index of the industrial production (IIP) and consumer price index (CPI) in emerging countries also depends on where the changes fundamentally come from (this is also the case for the United States). We also found that some emerging countries showed unique impulse response patterns, the shapes of which are different from those of the United States and there are differences in impulse response patterns among emerging countries.

Keywords: structural VAR; oil price; emerging countries (search for similar items in EconPapers)
JEL-codes: E F I J O Q (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:gam:jecomi:v:4:y:2016:i:4:p:20-:d:79468

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