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2017
- handle: 10670/1.rj5g4e
- hal: hal-01434319
- doi: 10.1080/00036846.2016.1221041
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info:eu-repo/semantics/altIdentifier/doi/10.1080/00036846.2016.1221041
Mots-clés
Oil price–inflation pass-through frequency domain Granger causality inflation targeting strategy Romania C - Mathematical and Quantitative Methods/C.C3 - Multiple or Simultaneous Equation Models • Multiple Variables/C.C3.C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space Models E - Macroeconomics and Monetary Economics/E.E3 - Prices, Business Fluctuations, and Cycles/E.E3.E31 - Price Level • Inflation • Deflation Q - Agricultural and Natural Resource Economics • Environmental and Ecological Economics/Q.Q4 - Energy/Q.Q4.Q43 - Energy and the MacroeconomyCiter ce document
Claudiu Tiberiu Albulescu et al., « Oil price-inflation pass-through in Romania during the inflation targeting regime », HAL-SHS : économie et finance, ID : 10.1080/00036846.2016.1221041
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Résumé
In the wake of the inflation-targeting strategy in Romania, we estimate the impact of international oil prices upon the consumer price index (CPI) and core inflation. The inflation target was systematically missed by the monetary authorities who explain this failure by exogenous factors. Using a frequency domain framework, we show that the oil price–inflation pass-through can be observed only for those components of inflation which include volatile prices and only in the medium run. Our results put forward that the constant missing of the target cannot be explained by the oil price–inflation pass-through and the credibility of the strategy is put into question.