Dissecting an Asymmetric Relationship: An Empirical Analysis of Causality and Long-Run Dynamics between Crude Oil Prices and Inflation in the United States Using the NARDL and Toda-Yamamoto Approaches

The present study empirically investigates the causal, long-run, and asymmetric relationship between the West Texas Intermediate crude oil price and the inflation rate in the United States over the period January ۲۰۲۰ to December ۲۰۲۳. To this end, a three-tier econometric strategy was designed and implemented. In the first tier, the Augmented Dickey-Fuller and Phillips-Perron unit root tests were employed to determine the order of integration of the variables, with results confirming the non-stationarity of both variables at level and their stationarity at the first difference. In the second tier, the Nonlinear Autoregressive Distributed Lag model was estimated to examine the asymmetric effects of positive and negative oil price changes on inflation in both the short and long run. The results of the bounds test confirmed the existence of a stable long-run cointegration relationship. The normalized long-run coefficients revealed that a sustained $۱۰ increase in oil prices raises the inflation rate by ۰.۴۶ percentage points, whereas an equivalent decrease reduces inflation by only ۰.۲۱ percentage points. The Wald test verified the statistical significance of this asymmetry, confirming the rockets and feathers effect in the U.S. oil-inflation nexus. The error correction coefficient indicated that approximately ۲۸.۷ percent of short-run disequilibrium is corrected in each period. In the third tier, the Toda-Yamamoto causality test unveiled a strong unidirectional causal relationship running from oil prices to the inflation rate and rejected the possibility of reverse causality. These findings carry significant policy implications for central banks facing energy supply shocks and underscore the necessity of adopting preemptive and asymmetric approaches in monetary policymaking.

کلیدواژه ها:

Crude oil price ، inflation rate ، asymmetry ، NARDL model ، Toda-Yamamoto causality test ، cointegration ، monetary policy ، United States