Examination on the asymmetric effects of commodity price changes on sectoral CPI inflation of Malaysia

Sek S. K., Sim K. Y., Har W. M., Arıç K. H.

The 5TH ISM INTERNATIONAL STATISTICAL CONFERENCE 2021 (ISM-V): Statistics in the Spotlight: Navigating the New Norm, Johor-Bahru, Malezya, 06 Eylül 2021, ss.1-9 identifier

  • Yayın Türü: Bildiri / Tam Metin Bildiri
  • Doi Numarası: 10.1063/5.0110160
  • Basıldığı Şehir: Johor-Bahru
  • Basıldığı Ülke: Malezya
  • Sayfa Sayıları: ss.1-9
  • Sivas Cumhuriyet Üniversitesi Adresli: Evet

Özet

The movement of global commodity price is the main concern of the public due to its influences on production
cost, expectation of investors, responses of policy authorities and the performances of economies globally. In this study,
we focus on the examination of the commodity price changes on the sectoral consumer price index (CPI) changes in
Malaysia. The effects of commodities are compared by energy, non-energy and precious metals. The Markov-switching
regression is innovated to include the asymmetric effects of commodity price increases and decreases. In particular, we
seek to compare how commodity price increases and decreases vary across sectoral consumer price changes in Malaysia.
Our results detect asymmetric of commodity price changes on CPI inflation across sectors, the effects vary across sectors.
Non-energy and precious metals have larger impact on CPI of beverages, food and transportation. The effect of energy
commodity is limited by the implementation of policies such as price control scheme and subsidies. Besides, CPI of clothing
and recreation show tendency to increase while majority sectors are stable.