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- Title
Examining the Asymmetric Effects of Oil Price Changes on Global Commodity Prices.
- Authors
Sekaran, Shantini; Siok Kun Sek
- Abstract
The effect of oil price changes on macroeconomy is evident through many studies. The results, however, could be heterogenous using different time frames, countries and estimation approaches. In this study, we seek to further examine the effect of oil price changes on the global commodity prices by applying a Markov switching (MS) regression with particular emphasis on three main sector that are energy, non-energy and precious metal sector. We attempt to study the asymmetric effect of oil price change on commodity prices by modifying the non-linear MS regression to include the asymmetric component of oil price change. Our results reveal the asymmetric effect of oil price change to be significant in energy and non-energy sectors and both increase and decrease lead to higher commodity inflation. The effect of oil price change is strongest in energy sector and weakest in the precious metal sector. The world effective exchange rate variable is the main determinant to commodity price inflation across sectors.
- Subjects
OIL changes; PETROLEUM sales &; prices; PETROLEUM; NONLINEAR regression; PRECIOUS metals; PRICE inflation
- Publication
International Journal of Mathematics & Computer Science, 2021, Vol 16, Issue 3, p907
- ISSN
1814-0424
- Publication type
Article