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Quantifying the Impact of Oil Prices on Inflation

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  • Bermingham, Colin

    (Central Bank and Financial Services Authority of Ireland)

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    Abstract

    The substantial increase in oil prices over the past six or seven years has provoked considerable comment within the international media. While this increase has not had quite the same impact as that experienced in the 1970's, the magnitude of the price increases still has significant implications from a macroeconomic perspective. This is particularly the case in terms of inflation. The re-emergence of the oil price issue necessitates a re-examination of econometric estimates of the influence of oil prices on inflation. We examine this issue in the case of a small open economy - that of Ireland.

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    File URL: http://www.centralbank.ie/publications/documents/8RT08.pdf
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    Bibliographic Info

    Paper provided by Central Bank of Ireland in its series Research Technical Papers with number 8/RT/08.

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    Length: 33 pages
    Date of creation: Nov 2008
    Date of revision:
    Handle: RePEc:cbi:wpaper:8/rt/08

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    1. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0169, National Bureau of Economic Research, Inc.
    2. Hamilton, James D, 1983. "Oil and the Macroeconomy since World War II," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 91(2), pages 228-48, April.
    3. James H. Stock & Mark W. Watson, 2007. "Why Has U.S. Inflation Become Harder to Forecast?," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 39(s1), pages 3-33, 02.
    4. Alan A. Carruth & Mark A. Hooker & Andrew J. Oswald, 1998. "Unemployment Equilibria And Input Prices: Theory And Evidence From The United States," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 621-628, November.
    5. repec:cbi:wpaper:1/rt/03 is not listed on IDEAS
    6. Andrew Atkeson & Lee E. Ohanian., 2001. "Are Phillips curves useful for forecasting inflation?," Quarterly Review, Federal Reserve Bank of Minneapolis, Federal Reserve Bank of Minneapolis, issue Win, pages 2-11.
    7. repec:cbi:wpaper:5/rt/96 is not listed on IDEAS
    8. Colin Bermingham, 2007. "How Useful is Core Inflation for Forecasting Headline Inflation?," The Economic and Social Review, Economic and Social Studies, Economic and Social Studies, vol. 38(3), pages 355–377.
    9. Chen, Shiu-Sheng, 2009. "Oil price pass-through into inflation," Energy Economics, Elsevier, Elsevier, vol. 31(1), pages 126-133, January.
    10. Godfrey, Leslie G, 1978. "Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, Econometric Society, vol. 46(6), pages 1293-1301, November.
    11. Todd E. Clark & Kenneth D. West, 2005. "Approximately normal tests for equal predictive accuracy in nested models," Research Working Paper, Federal Reserve Bank of Kansas City RWP 05-05, Federal Reserve Bank of Kansas City.
    12. Todd E. Clark & Kenneth D. West, 2004. "Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesis," Research Working Paper, Federal Reserve Bank of Kansas City RWP 04-03, Federal Reserve Bank of Kansas City.
    13. Breusch, T S, 1978. "Testing for Autocorrelation in Dynamic Linear Models," Australian Economic Papers, Wiley Blackwell, Wiley Blackwell, vol. 17(31), pages 334-55, December.
    14. repec:cbi:wpaper:6/rt/96 is not listed on IDEAS
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