Pass-through of import cost into consumer prices and inflation in GCC countries: Evidence from a nonlinear autoregressive distributed lags model

Autor:	Abdulnasser Hatemi-J, Mouyad Alsamara, Zouhair Mrabet
Rok vydání:	2020
Předmět:	Inflation Economics and Econometrics 050208 finance Index (economics) Short run Factor cost Depreciation media_common.quotation_subject 05 social sciences Causality Corporation Autoregressive model 0502 economics and business Econometrics Economics 050207 economics Finance media_common
Zdroj:	International Review of Economics & Finance. 70:89-101
ISSN:	1059-0560
DOI:	10.1016/j.iref.2020.07.009
Popis:	This paper explores the asymmetric response of consumer prices to import costs using a nonlinear approach that investigates the long and the short run asymmetric pass-through. Quarterly data over the period of 1990–2014 for Gulf Corporation Council (GCC) countries and their trade partners is used to construct the index of imports cost. The estimated nonlinear autoregressive distributed lags model reveals a stronger import cost pass-through of depreciation than appreciation. We also investigate the underlying relationship between the selected variables by conducting asymmetric causality tests. The results reveal that the import cost factor has an asymmetric causal impact on the level of prices in GCC countries. Our findings provide new insights on the import cost pass-through that might be useful to consumers and policy makers.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::5703293019624b74ee552f30a251722c https://doi.org/10.1016/j.iref.2020.07.009 Zobrazit plný text záznamu Full Text from ScienceDirect