Effects of Energy Prices Shocks on Global Inflation: A Panel Structural VAR Approach

IF 2.2 4区地球科学 Q2 GEOSCIENCES, MULTIDISCIPLINARY

Acta Montanistica Slovaca Pub Date : 2023-02-20 DOI:10.46544/ams.v27i4.08

M. Škare, S. B. Buric, D. Sinković

引用次数: 0

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.

查看原文本刊更多论文

能源价格冲击对全球通胀的影响:面板结构VAR方法

过去几年，由于新冠肺炎，全球供应冲击遭受了大规模破坏。这种冲击伴随着乌克兰战争导致的能源价格飙升。我们研究了能源价格冲击（常见、特殊）对能源价格问题导致的通货膨胀的影响。我们建立了一个面板结构VAR（PSVAR）模型来研究能源价格冲击是否表现出对全球通胀具有永久（长期）影响的长记忆特性（持久性）。该模型是在Cholesky和Blanchard Quah限制条件下建模的。我们按照自举程序计算中位数、平均值和四分位数间脉冲响应函数，置信区间为分位数。我们看到能源冲击对过去2.5年整体通胀的影响（缓慢均值回归）达到危机前的水平。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Acta Montanistica Slovaca 地学-地球科学综合

CiteScore

3.60

自引率

12.50%

发文量

审稿时长

30 weeks

期刊介绍： Acta Montanistica Slovaca publishes high quality articles on basic and applied research in the following fields: geology and geological survey; mining; Earth resources; underground engineering and geotechnics; mining mechanization, mining transport, deep hole drilling; ecotechnology and mineralurgy; process control, automation and applied informatics in raw materials extraction, utilization and processing; other similar fields. Acta Montanistica Slovaca is the only scientific journal of this kind in Central, Eastern and South Eastern Europe. The submitted manuscripts should contribute significantly to the international literature, even if the focus can be regional. Manuscripts should cite the extant and relevant international literature, should clearly state what the wider contribution is (e.g. a novel discovery, application of a new technique or methodology, application of an existing methodology to a new problem), and should discuss the importance of the work in the international context.