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Nonlinear Effects of Oil Prices on Consumer Prices: A Comparative Study of Net Oil Consuming Countries

Author

Listed:
  • M.Ali Sotoudeh

    ("Department of Accounting, Finance and Economics, Griffith University and Department of Economics, University of Sistan and Baluchestan")

  • Andrew C. Worthington

    ("Department of Accounting, Finance and Economics, Griffith University")

Abstract

"In this paper, we implement a number of modified causality tests, including linear models, and nonlinear nonparametric Hiemstra–Jones and parametric Mackey–Glass models, to compare the causal relationships between changes in oil prices and consumer prices across large net oil consuming and producing countries. Our findings indicate that despite the inconclusive results in the extant literature, oil prices affect consumer prices mostly (non)linearly in net oil-consuming (-producing) countries through country-specific mechanisms. Moreover, the nonlinear causations are largely asymmetric. "

Suggested Citation

  • M.Ali Sotoudeh & Andrew C. Worthington, 2017. "Nonlinear Effects of Oil Prices on Consumer Prices: A Comparative Study of Net Oil Consuming Countries," Review of Economic Analysis, Digital Initiatives at the University of Waterloo Library, vol. 9(1), pages 57-79, June.
    • Handle: RePEc:ren:journl:v:9:y:2017:i:1:p:57-79
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    Citations

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    Cited by:

    1. Shokoohi, Zeinab & Saghaian, Sayed, 2022. "Nexus of energy and food nutrition prices in oil importing and exporting countries: A panel VAR model," Energy, Elsevier, vol. 255(C).

    More about this item

    Keywords

    oil prices; consumer prices; oil consuming/producing countries; panel linear causality; nonlinear causality;
    All these keywords.

    JEL classification:

    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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