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Castro Rozo, César Augusto

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https://academica-e.unavarra.es/handle/2454/48829

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Castro Rozo

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César Augusto

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Economía

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INARBE. Institute for Advanced Research in Business and Economics

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0000-0002-1367-3808

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811700

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20202
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Author: Castro Rozo, César Augusto × Subject: Oil price ×

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Now showing 1 - 2 of 2
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    PublicationOpen Access
    Dynamic interactions between oil price and exchange rate
    (Public Library of Science, 2020) Castro Rozo, César Augusto; Jiménez Rodríguez, Rebeca; Economía; Ekonomia
    This paper contributes to better understand the dynamic interactions between effective exchange rate (EER) and oil price for an oil-importing country like the U.S. by considering a Time-Varying Parameter VAR model with the use of monthly data from 1974:01 to 2019:07. Our findings show a depreciation after an oil price shock in the short-run for any period of time, although the pattern of long-run responses of U.S. EER is diverse across time periods, with an appreciation being observed before the mid-2000s and after the mid-2010s, and a depreciation between both periods. This diversity of response should lead policy makers to react differently in order to counteract such shocks. Furthermore, the reaction of oil price to an appreciation of U.S. EER is negative and different over time, which may generate different adverse effects on investment. The knowledge of such effects may help financial investors to diversify their investments in order to optimize the risk-return profile of their portfolios.
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    PublicationOpen Access
    Oil price pass-through into inflation in Spain at national and regional level
    (Springer, 2020) Topan, Ligia; Castro Rozo, César Augusto; Jerez, Miguel; Barge Gil, Andrés; Economía; Ekonomia
    Oil price showed sharp fluctuations in recent years which revived the interest in its effect on inflation. In this paper, we discuss the relationship between oil price and inflation in Spain, at national and regional levels, and making the distinction between energy and non-energy inflation. To this end, we fit econometric models to measure the effect of oil price shocks on inflation and to predict them under different scenarios. Our results show that almost half of the volatility of changes in total inflation is explained by changes in oil price. As could be expected, the energy component of inflation drives this effect. We also find that, under the most likely scenarios, 1-year ahead total inflation will be moderate, with relevant differences across regions.