Cointegration Analysis of Oil Prices and Consumer Price Index in South Africa using STATA Software
This 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.
|Date of creation:||13 Sep 2013|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Browne, Frank & Cronin, David, 2010.
"Commodity prices, money and inflation,"
Journal of Economics and Business,
Elsevier, vol. 62(4), pages 331-345, July.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Cologni, Alessandro & Manera, Matteo, 2008.
"Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries,"
Elsevier, vol. 30(3), pages 856-888, May.
- Matteo Manera & Alessandro Cologni, 2005. "Oil Prices, Inflation and Interest Rates in a Structural Cointegrated VAR Model for the G-7 Countries," Working Papers 2005.101, Fondazione Eni Enrico Mattei.
- LeBlanc, Michael & Chinn, Menzie David, 2004.
"Do High Oil Prices Presage Inflation? The Evidence from G-5 Countries,"
Santa Cruz Department of Economics, Working Paper Series
qt4wt4m7hg, Department of Economics, UC Santa Cruz.
- LeBlanc, Michael & Chinn, Menzie David, 2004. "Do High Oil Prices Presage Inflation? The Evidence from G-5 Countries," Santa Cruz Department of Economics, Working Paper Series qt9rr929sm, Department of Economics, UC Santa Cruz.
- LeBlanc, Michael & Chinn, Menzie David, 2004. "Do High Oil Prices Presage Inflation? The Evidence from G-5 Countries," Santa Cruz Center for International Economics, Working Paper Series qt9rr929sm, Center for International Economics, UC Santa Cruz.
- Granger, Clive W. J. & Swanson, Norman R., 1997.
"An introduction to stochastic unit-root processes,"
Journal of Econometrics,
Elsevier, vol. 80(1), pages 35-62, September.
- Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 211-244.
- Juncal Cunado & Fernando PÃ©rez de Gracia, 2004.
"Oil Prices, Economic Activity and Inflation: Evidence for Some Asian Countries,"
Faculty Working Papers
06/04, School of Economics and Business Administration, University of Navarra.
- Cunado, J. & Perez de Gracia, F., 2005. "Oil prices, economic activity and inflation: evidence for some Asian countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(1), pages 65-83, February.
- François Lescaroux & Valérie Mignon, 2008.
"On the Influence of Oil Prices on Economic Activity and Other Macroeconomic and Financial Variables,"
2008-05, CEPII research center.
- François Lescaroux & Valérie Mignon, 2008. "On the influence of oil prices on economic activity and other macroeconomic and financial variables ," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 32(4), pages 343-380, December.
- David F. Hendry & Katarina Juselius, 2001.
"Explaining Cointegration Analysis: Part II,"
The Energy Journal,
International Association for Energy Economics, vol. 0(Number 1), pages 75-120.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:49797. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter)
If references are entirely missing, you can add them using this form.