earticle

영어

This paper investigates the impact of oil price shock on three domestic price indices such as import price(IPI), producer price(PPI) and consumer price(CPI). According to the results of cointegration test, The 5 variables including exchange rate, has a stable cointegration vector which means there is a long-run relationship among variables. The VECM model has been estimated in order to examine the inter-relationship using the impulse response function. The impulse response analysis shows that the oil price shock have caused to the impact on the import price bigger than on the producer price. The results of variance decomposition indicate that the influence of oil price to producer price is much bigger than the import and consumer price indices.