OIL PASS-THROUGH TO DOMESTIC PRICES IN TURKEY: DOES THE CHANGE IN INFLATION REGIME MATTERReportar como inadecuado




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Economic research - Ekonomska istraživanja, Vol.25 No.2 June 2012. -

This paper investigates the existence

of oil pass through to inflation under

different inflation regimes in Turkey.

In order to compare the difference

between the oil pass-through effects in the low

and high inflation periods we employ Markov

Regime Switching Vector Autoregressive

MS-VAR model as a non-linear estimation

framework. The regime-dependent impulse

responses do not indicate strong pass through

from crude oil prices to inflation in both

regimes. However, this channel is working

through refined petroleum product prices. The

results show that there is a substantial decline

in pass-through from refined petroleum prices

to inflation as the economy moves from high

to low inflation regime. These findings support

the hypothesis of Taylor 2000 suggesting that

low inflationary environment leads to a low

pass-through.

Inflation; Oil shocks; Pass-through; Regime-dependent impulse responses; MS-VAR model



Autor: A. NAZIF ÇATIK - MEHMET KARAÇUKA -

Fuente: http://hrcak.srce.hr/



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