How inflationary are oil price hikes? A disaggregated look at Thailand using symmetric and asymmetric cointegration models

The present paper analyzes the inflationary effects of oil prices at the aggregate and disaggregated levels for Thailand using symmetric and asymmetric cointegration and error-correction modeling approaches. The cointegration test results suggest the presence of long-run relations between oil prices and the following price indices: aggregate consumer price index, non-food and beverage price index, housing and furnishing price index, energy price index, non-raw food and energy price index and transportation and communication price index. Meanwhile, food and beverage price index and raw food price index are not cointegrated with the oil prices. From the dynamic analyses, we uncover evidence for asymmetric adjustments of the aggregate consumer prices, the non-food and beverage prices and the housing and furnishing prices towards their long-run values. Further, the effects of oil prices on inflation are observed to be significant in all goods sectors in the short run. The largest impacts of oil price changes are on the energy price inflation followed by the transportation and communication price inflation and the non-raw food and energy price inflation.