dc.contributor.author |
Sheng, Xin
|
|
dc.contributor.author |
Marfatia, Hardik A.
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Ji, Qiang
|
|
dc.date.accessioned |
2023-01-19T11:08:01Z |
|
dc.date.available |
2023-01-19T11:08:01Z |
|
dc.date.issued |
2023-01 |
|
dc.description.abstract |
This paper investigates the effects of oil supply, oil-specific consumption demand, oil inventory demand shocks, and global economic activity shocks on state-level tradable and non-tradable inflation in the US. We use oil shock data following the work of Baumeister and Hamilton (2019) and estimate both linear and non-linear impulse responses using a lag-augmented local projections model in a panel context. Our results from a linear model show that both supply and demand-side oil shocks have a statistically significant impact on both types of inflation. While supply, global economic activity, and demand shocks have a greater impact on tradable inflation, non-tradable inflation responds more strongly to inventory shocks. Further, the non-linear model results provide evidence of heterogeneity in the magnitude and persistence of impact between high- and low-oil dependence regimes. Non-tradable inflation is more sensitive to nearly all components of oil price shocks in the high-oil dependence regime. |
en_US |
dc.description.department |
Economics |
en_US |
dc.description.librarian |
hj2023 |
en_US |
dc.description.sponsorship |
The National Natural Science Foundation of China. |
en_US |
dc.description.uri |
https://www.elsevier.com/locate/ribaf |
en_US |
dc.identifier.citation |
Sheng, X., Marfatia, H.A., Gupta, R. et al. 2023, 'The non-linear response of US state-level tradable and non-tradable inflation to oil shocks: The role of oil-dependence', Research in International Business and Finance, vol. 64, art. 101830, pp. 1-10, doi : 10.1016/j.ribaf.2022.101830. |
en_US |
dc.identifier.issn |
0275-5319 |
|
dc.identifier.other |
10.1016/j.ribaf.2022.101830 |
|
dc.identifier.uri |
https://repository.up.ac.za/handle/2263/88901 |
|
dc.language.iso |
en |
en_US |
dc.publisher |
Elsevier |
en_US |
dc.rights |
© 2022 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was submitted for publication in Research in International Business and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms are not reflected in this document. A definitive version was subsequently published in Research in International Business and Finance, vol. 64, art. 101830, pp. 1-10, 2023, doi : 10.1016/j.ribaf.2022.101830. |
en_US |
dc.subject |
Phillips curve |
en_US |
dc.subject |
Structural oil shocks |
en_US |
dc.subject |
State-level inflation |
en_US |
dc.subject |
Local projection method |
en_US |
dc.title |
The non-linear response of US state-level tradable and non-tradable inflation to oil shocks : the role of oil-dependence |
en_US |
dc.type |
Preprint Article |
en_US |