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A Non-linear Autoregressive Distributed Lag Model of Oil Price Shock on Inflation

Kazeem Olanrewaju Sanni, Ismaila Adedeji Adeleke

Abstract



The study has primarily explained the basic concept of inflation and its dynamics over time. We investigated the impact of domestic fuel price fluctuation on inflation among selected OPEC members in Sub-Sahara Africa Countries. A Non-Linear Distributed Lag (NARDL) model is employed to analyze the data set of members' countries between 1980 and 2015. The findings showed that oil prices are significantly explained the asymmetric shock on inflation in the long run. Algeria, Congo Democratic Republic and Equatorial Guinea experienced oil price asymmetric shock in long while in the short run the effect of oil price asymmetric is greater in Gabon, Nigeria and Congo Republic.

Keywords


Asymmetric ARDL, bound co-integration test, inflation, oil price, OPEC.

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