ABSTRACT

This paper investigates how oil price changes affect consumer price inflation in eleven Central and Eastern European countries. We use a wavelet-based Markov switching approach in order to distinguish between the effects at different time horizons. We find that the transmission of oil price changes to inflation is relatively low in the Central and Eastern European countries as an increase in the oil price of 100% is followed by a rise in inflation of 1–6 percentage points. The strongest impact from rising oil price on inflation is found for the longer time-horizons for most of the countries, which means that the indirect spillover effect is more intensive than the direct one. Also, the results indicate that exchange rate is not a significant factor when oil shocks are transmitted towards inflation, except in the occasions when high depreciation occurs. Slovakia and Bulgaria are the countries which experience the highest and most consistent pass-through effect throughout the observed sample, and this may be due to these countries having some of the highest oil import/GDP ratios.

摘要

本文调查了11个中欧和东欧国家的石油价格变化如何影响消费者价格通胀。为了区分不同时间范围的影响，我们使用基于小波的马尔可夫切换方法。我们发现，在中欧和东欧国家，油价变化对通货膨胀的传导相对较低，因为油价上涨100％之后，通货膨胀率上升1-6个百分点。在大多数国家中，油价上涨对通胀的影响最大，时间更长，这意味着间接溢出效应比直接溢出效应更为强烈。此外，结果表明，当石油冲击向通货膨胀传导时，汇率并不是一个重要因素，除了发生高折旧的情况外。斯洛伐克和保加利亚是在整个观察到的样本中经历最高且最一致的传递效应的国家，这可能是由于这些国家的石油进口/国内生产总值比率最高。