The lead-lag relationship between PPI, CPI and oil price: Malaysian evidence

Kalthum, Ummi and Masih, Mansur (2017): The lead-lag relationship between PPI, CPI and oil price: Malaysian evidence.

Abstract

A considerable body of economic literature shows the impact of oil-price shocks on commodities and inflation especially for the developed countries. However, there has been a relative lack of empirical study of this kind on the developing countries. The focus of this paper is to discern the lead-lag relationship between the producer price index (PPI), CPI and the oil price. We used the standard time-series techniques for the analysis and Malaysia as a case study. The findings tend to indicate that it is the PPI that leads the Oil price rather than the other way around. The results have strong policy implications at least in the context of developing countries like Malaysia.

• Item Type: MPRA Paper
• Language: English
• Keywords: PPI, CPI, oil price, VECM, VDC, Malaysia
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy

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