The Asymmetric Impact of Oil Price Dynamics On Inflation in Brazil

Proceedings of The 5th International Conference on Business, Management and Finance

Year: 2022

DOI:

[PDF]

The Asymmetric Impact of Oil Price Dynamics On Inflation in Brazil

Jephthah O. Osei

ABSTRACT: 

This study investigates whether changes in oil price exert asymmetric pass-through effects on inflation using quarterly data from 2000Q1 to 2021Q4 in Brazil. It fits a nonlinear Autoregressive Distributed Lag (NARDL) model capable of simultaneous decomposition of oil price into its partial sum of positive and negative components to capture both the short-run and long-run asymmetry behaviour of inflation. The empirical results reveal the existence of a nonlinear or asymmetric effect of oil price pass-through to inflation from the short-run to the long-run. The finding suggests that monetary authority should account for asymmetric effects of inflation and oil price nexus.

keywords: Asymmetric, Oil Price, Dynamics, Inflation, Brazil.