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Jurnal Ekonomi Malaysia

57 (2) 2023 15 – 27

Asymmetric Effects of Oil Price Shock on Disaggregated Consumer Prices

Faculty of Business, Economics & Accountancy
Universiti Malaysia Sabah
Jalan UMS 88400 Kota Kinabalu Sabah, MALAYSIA.

htwong@ums.edu.my

Faculty of Business, Economics & Accountancy
Universiti Malaysia Sabah
Jalan UMS 88400 Kota Kinabalu Sabah, MALAYSIA.

kmansur@ums.edu.my

Faculty of Business, Economics & Accountancy
Universiti Malaysia Sabah
Jalan UMS 88400 Kota Kinabalu Sabah, MALAYSIA.

cheongqi@ums.edu.my

Abstract

This paper examines the effects of positive and negative oil price shocks on disaggregated consumer prices. It employs the Structural VAR (SVAR) model on Malaysian data over l991-2020. The findings indicate that positive and negative oil price shocks have different effects on certain sub-groups of the consumer price index, confirming the asymmetric effects of oil prices. Other sub-group indexes, particularly the food index, transport and communication index and recreation, entertainment, education and cultural services index behave symmetrically following positive and negative oil price shocks. The response in food index is the largest following a positive oil price shock, as shown by the forecast error variance decomposition. Meanwhile, the transport and communication index received substantial impacts from a negative oil price shock. Moreover, positive and negative oil price shocks exert inflationary pressure on Malaysia’s economy.   

Keywords

asymmetric; oil shocks; price level; structural vector autoregression

JEL Codes

A10, C32, C50, D60, E31, Q43
Jurnal Ekonomi Malaysia http://dx.doi.org/10.17576/JEM-2023-5702-02
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tsen, , Md. Mansur, K., & Jia Qi, C. (2023). Asymmetric Effects of Oil Price Shock on Disaggregated Consumer Prices. Jurnal Ekonomi Malaysia, 57(2), 15–27. Jurnal Ekonomi Malaysia http://dx.doi.org/10.17576/JEM-2023-5702-02

@article{tsen2023asymmetric,
  title={Asymmetric Effects of Oil Price Shock on Disaggregated Consumer Prices},
  author={tsen, wong and Md. Mansur, Kassim and Jia Qi, Cheong},
  journal={Jurnal Ekonomi Malaysia},
  volume={57},
  number={2},
  pages={15—27},
 

year={2023},
}

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