Oil price shocks and producer prices in Taiwan: an application of non-linear error-correction models

被引:15
|
作者
Chou, Kuo-Wei [1 ]
Lin, Po-Chun [2 ]
机构
[1] Fo Guang Univ, Dept Econ, Jiaosi, Taiwan
[2] Natl Chengchi Univ, Dept Int Business, Taipei, Taiwan
关键词
oil prices; PPI inflation; pass-through; non-linear error correction; augmented Phillips curve;
D O I
10.1080/14765284.2012.755302
中图分类号
F [经济];
学科分类号
02 ;
摘要
This study estimated the short-term and long-term pass-through effects of oil prices on inflation in Taiwan from 1981M1-2011M5, employing the producer price general index and various basic sub-indices for evaluation. The empirical results show that oil prices have long-term and short-term pass-through effects on Taiwan's producer price indices. Moreover, producer prices have significant non-linear error-correction relationships with the oil price, output and wages, suggesting asymmetric and time-variant properties of error correction. When the deviation of price in the equilibrium is greater, the error-correction adjustment will be faster. Our findings could therefore enable the monetary authorities and manufacturers to formulate a more effective policy from the oil price shocks.
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页码:59 / 72
页数:14
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