CBN Journal of Applied Statistics (JAS)
Keywords
Consumer price index, financial crisis, oil price, post crisis, structural vector autoregressive
Abstract
This study investigates the responses of consumer price index (CPI) to crude oil price shocks in the pre- and post-2008 global financial crisis. The study used the Structural Vector Autoregressive model to analyze monthly data from 2000M01 to 2019M12. The impulse response analysis showed that for pre and post-crisis periods, oil price shocks have a positive impact on CPI. This impact was an insignificant direct momentary increase in pre-crisis CPI before dissipating. Conversely, the impact on post crisis CPI response tends to be stable and long-lasting starting from the third month. The confidence bands for the post crisis CPI are large, indicating the long-lasting positive response in the CPI pose no significant threat to price stability in the long run horizon. In conclusion, CPI response varies in terms of intensity for pre and post crisis periods. In terms of level of significance, the effect of the shocks on CPI is transient and insignificant in both periods. The post crisis oil price shock is not a significant channel that created price instability in Nigeria after the crisis and this study recommend partial deregulation of energy price should be maintained. Establishing oil price –inflation pass-through, external shocks like financial crisis should be accounted for
Publication Title
CBN Journal of Applied Statistics
Issue
2
Volume
11
First Page
115
Last Page
143
Recommended Citation
Otoakhia, Eric I.
(2020)
"Pass-Through of Crude-oil Price Shocks to Consumer Prices in Nigeria: Pre and Post 2008 Global Financial Crisis,"
CBN Journal of Applied Statistics (JAS): Vol. 12:
No.
1, Article 4.
Available at:
https://dc.cbn.gov.ng/jas/vol12/iss1/4