Cointegration Analysis of Oil Prices and Consumer Price Index in South Africa using STATA Software
AbstractThis paper investigates the concept of vector autoregression (VAR) and cointegration using a bivariate model of global oil prices and headline Consumer Price Index (CPI) in South Africa. The study aims to determine how much of inflation is driven by oil prices. Particular attention is paid to the theoretical underpinnings of cointergration analysis and the application of STATA software to undertake such analysis and perform test statistics. Contrary to the popular myth that a rise in global oil prices fuels inflation, this study has observed that global oil prices are not the drivers of inflation in South Africa. In this way, other macroeconomic indicators and policy developments need to be integrated in analyzing the determinants of South African inflation.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 49797.
Date of creation: 13 Sep 2013
Date of revision:
Consumer Price Index; Oil Prices; Vector Autoregression; Cointegration; STATA Software; South Africa;
Find related papers by JEL classification:
- E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
- E6 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook
- E64 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Incomes Policy; Price Policy
- E65 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Studies of Particular Policy Episodes
This paper has been announced in the following NEP Reports:
- NEP-AFR-2013-09-26 (Africa)
- NEP-ALL-2013-09-26 (All new papers)
- NEP-ENE-2013-09-26 (Energy Economics)
- NEP-MAC-2013-09-26 (Macroeconomics)
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