The Effects of Oil Shocks on Inflation in Leading Crude Oil Importing Countries: Non-linear Autoregressive Distributed Lag

This study examined the relationship between oil price changes and inflation rates in leading crude oil importing countries during 1994–2020 using the Autoregressive Distributed Lag (ARDL) model and the asymmetric nonlinear ARDL model. We divided the leading crude oil importers in our study into two groups: high-income countries and middle-income countries. For high-income countries, the results of linear ARDL show that oil price contribute a moderate effect on the inflation. We then decomposed the oil price as positive and negative oil price shocks and conduct the nonlinear ARDL to shows their effects on the inflation, the results show that the impacts of these two shocks become weaker in both long-run and short run.