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- Title
Effects of Energy Prices Shocks on Global Inflation: A Panel Structural VAR Approach.
- Authors
ŠKARE, Marinko; BLAŽEVIĆ BURIĆ, Sanja; SINKOVIĆ, Dean
- Abstract
Global supply shock suffered massive disruption because of COVID-19 in the last few years. Such a shock is accompanied by an energy price surge caused by the war in Ukraine. We study the effects of energy price shocks (common, idiosyncratic) on inflation due to energy price issues. We set up a panel structural VAR (PSVAR) model to study whether energy price shocks exhibit long memory properties (persistence) having permanent (long-run) effects on global inflation. The model is modelled under Cholesky and Blanchard-Quah restrictions. We calculate medians, averages, and interquartile impulse response functions with confidence interval quantiles following bootstrapping procedure. We see energy shock impact on headline inflation last 2.5 years (slow mean-reversion) reaching pre-crisis level.
- Subjects
UKRAINE; ENERGY industries; STRUCTURAL panels; IMPULSE response; RUSSIAN invasion of Ukraine, 2022-; PRICE inflation; QUANTILE regression; ECONOMIC forecasting; INFLATIONARY universe
- Publication
Acta Montanistica Slovaca, 2022, Vol 27, Issue 4, p929
- ISSN
1335-1788
- Publication type
Article
- DOI
10.46544/AMS.v27i4.08