Through a glass darkly: Deciphering the impact of oil price shocks
AbstractIn order to examine if the impact of oil price shocks depends on the structure of an economy, a vertical (VSC) and a horizontal (HSC) long-run supply curve identification are successively imposed on a three variable VAR with Indian time series data. While core inflation is measured with the VSC, the HSC requires a new concept of demand-driven inflation: Residual (demand) inflation, which gives the impact of short and medium run demand shocks on inflation. Core and residual inflation are both estimated. The data favors the HSC, but both identifications imply that policy demand squeeze aggravated international oil price shocks.
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Bibliographic InfoPaper provided by Indira Gandhi Institute of Development Research, Mumbai, India in its series Indira Gandhi Institute of Development Research, Mumbai Working Papers with number 2006-012.
Length: 31 pages
Date of creation: Dec 2006
Date of revision:
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More information through EDIRC
Oil Shocks; VAR; Identification strategies; Developing economy; Residual Inflation;
Other versions of this item:
- Ashima Goyal & Arjun Singh, 2006. "Through a Glass Darkly - Deciphering the Impact of Oil Price Shocks," Macroeconomics Working Papers 22374, East Asian Bureau of Economic Research.
- Ashima Goyal, 2009. "Through a Glass Darkly: Deciphering the Impact of Oil Price Shocks," Working Papers id:1826, eSocialSciences.
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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