Oil Price Pass-Through to Disaggregated CPI Data of Pakistan: Evidence from VAR Approach

Abstract

The aim of this paper is to investigate the oil pass-through to
aggregate CPI and disaggregated CPI inflation in Pakistan. We

estimated recursive VAR model to investigate the oil price pass-
through to CPI and disaggregated CPI inflation for the period of July

1991 to April 2017. The major finding of the study are: (1) oil price

shock has moderate effect on CPI inflation; (2) oil price pass-
through is high in energy, nonfood, transport and WPI inflation as

compared to food, non-energy, housing sector and aggregate CPI
inflation; (3) oil price pass-through is high after the period of 2006
when government approved authority to OGRA to notify petroleum
products;(4) oil price pass-through has asymmetric effect on
disaggregated CPI inflation.