The transmission of oil and food prices to consumer prices: Evidence for the MENA countries

Arbeitspapier

This paper investigates the effects of global Oil and food price shocks to consumer prices in Middle East-North African (MENA) countries using threshold cointegration methods. Oil and food price shocks increase domestic prices in the long run, whereby the impact of food prices dominates. While global prices are weakly exogenous, consumer prices respond to deviations from the equilibrium relationship. The short run adjustment pattern exhibits asymmetries and is particularly strong after positive shocks. Downward rigidities on wages may play a crucial role in this regard, as the relatively weak reactions of consumer prices after negative shocks are related to labour market institutions and public subsidies. The more rigid the regulations the more pronounced are the asymmetries. Robustness checks show that international price shocks do not affect GDP growth.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ROME Discussion Paper Series ; No. 13-14

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Price Level; Inflation; Deflation ; Commodity Markets
• Subject: Oil and food price transmission ; asymmetric error correction ; MENA region

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Belke, Ansgar ; Dreger, Christian
• Event: Veröffentlichung
• (who): Research On Money in the Economy (ROME)
• (where): s.l.
• (when): 2013

Further information

• Handle: http://hdl.handle.net/10419/98642
• Last update: 10.03.2025, 11:43 AM CET