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The impact of oil prices on products groups inflation: is the effect asymmetric?

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2020
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Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
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In this paper we assess the oil price pass-through into both, the global inflation in Spain and the inflation derived from the non-deterministic prices of the standard European classification of product groups, during the period 2002-2018. To this end we fit a transfer function to inflation in each group, extended to allow for an asymmetry in the transmission of positive/negative oil cost shocks, that is, a “rockets and feathers effect”. Our results show that most often there is a significant asymmetry, which can be explained by the degree of competition in each market.
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This research was supported by Complutense University of Madrid and Santander Bank programme CT17/17 - CT18/17. We thank these institutions for providing funding for our project. We would also like to show our gratitude to The Economic Analysis and Quantitative Economy Department and Complutense Institute of Economic Analysis, for all the support.
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