Abstract/Description
The current research study targets to explore the impact of oil price and its volatility on CPI in case of Pakistan from the period 1980:M1 to 2018:M12. In this study we used the financial time series econometrics techniques; first applied the Box-Cox transformation on the data which suggested log transformation is required for all series.
Keywords
Oil prices, Volatility of oil prices, CPI, Box Cox Transformation, Cointegration, EGARCH Model, Pakistan
Location
MCS-3, AMAN-CED, Ground Floor
Session Theme
1A: Competitiveness, Productivity and Growth I
Session Type
Parallel Technical Session
Session Discussant
Anwar Shah, Quaid-e-Azam University (QAU), Islamabad
Start Date
16-11-2023 2:30 PM
End Date
16-11-2023 4:00 PM
Recommended Citation
Naurin, A. (2023). Impact of Oil Price and Its Volatility on CPI of Pakistan: Bivariate EGARCH Model. CBER Conference. Retrieved from https://ir.iba.edu.pk/esdcber/2023/program/4
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Included in
Impact of Oil Price and Its Volatility on CPI of Pakistan: Bivariate EGARCH Model
MCS-3, AMAN-CED, Ground Floor
The current research study targets to explore the impact of oil price and its volatility on CPI in case of Pakistan from the period 1980:M1 to 2018:M12. In this study we used the financial time series econometrics techniques; first applied the Box-Cox transformation on the data which suggested log transformation is required for all series.
