The lead-lag relationship between PPI, CPI and oil price: Malaysian evidence

Ummi Kalthum and Abul Masih

MPRA Paper from University Library of Munich, Germany

Abstract: A considerable body of economic literature shows the impact of oil-price shocks on commodities and inflation especially for the developed countries. However, there has been a relative lack of empirical study of this kind on the developing countries. The focus of this paper is to discern the lead-lag relationship between the producer price index (PPI), CPI and the oil price. We used the standard time-series techniques for the analysis and Malaysia as a case study. The findings tend to indicate that it is the PPI that leads the Oil price rather than the other way around. The results have strong policy implications at least in the context of developing countries like Malaysia.

Keywords: PPI; CPI; oil price; VECM; VDC; Malaysia (search for similar items in EconPapers)
JEL-codes: C22 C58 E44 (search for similar items in EconPapers)
Date: 2017-11-25
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Citations: View citations in EconPapers (1)

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