Effects of Energy Prices Shocks on Global Inflation: A Panel Structural VAR Approach
Acta Montanistica Slovaca
; 27(4):929-943, 2022.
Article
in English
| Scopus | ID: covidwho-2281817
ABSTRACT
Global supply shock suffered massive disruption because of COVID-19 in the last few years. Such a shock is accompanied by an energy price surge caused by the war in Ukraine. We study the effects of energy price shocks (common, idiosyncratic) on inflation due to energy price issues. We set up a panel structural VAR (PSVAR) model to study whether energy price shocks exhibit long memory properties (persistence) having permanent (long-run) effects on global inflation. The model is modelled under Cholesky and Blanchard-Quah restrictions. We calculate medians, averages, and interquartile impulse response functions with confidence interval quantiles following bootstrapping procedure. We see energy shock impact on headline inflation last 2.5 years (slow mean-reversion) reaching pre-crisis level. © 2022 by the authors.
Full text:
Available
Collection:
Databases of international organizations
Database:
Scopus
Type of study:
Experimental Studies
Language:
English
Journal:
Acta Montanistica Slovaca
Year:
2022
Document Type:
Article
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