o:29218 How do oil price changes affect inflation in Central and Eastern European countries? A wavelet-based Markov switching approach en ABSTRACTThis paper investigates how oil price changes affect consumer priceinflation in eleven Central and Eastern European countries. We use awavelet-based Markov switching approach in order to distinguishbetween the effects at different time horizons. Wefind that thetransmission of oil price changes to inflation is relatively low inthe Central and Eastern European countries as an increase in theoil price of 100% is followed by a rise in inflation of 1–6percentage points. The strongest impact from rising oil price oninflation is found for the longer time-horizons for most of thecountries, which means that the indirect spillover effect is moreintensive than the direct one. Also, the results indicate thatexchange rate is not a significant factor when oil shocks aretransmitted towards inflation, except in the occasions when highdepreciation occurs. Slovakia and Bulgaria are the countries whichexperience the highest and most consistent pass-through effectthroughout the observed sample, and this may be due to thesecountries having some of the highest oil import/GDP ratios Keywords: CEECs; Inflation; Markov switching model; Oil; Wavelet 1552099 10.1080/1406099X.2018.1562011 1552101 1406-099X 2023-05-09T11:02:29.644Z 44 no 46 Dejan Živkov Jasmina Đurašković Institut ekonomskih nauka person Slavica Manić Univerzitet u Beogradu Ekonomski fakultet person 12719207 0000-0003-2730-3215 application/pdf 2752899 https://phaidrabg.bg.ac.rs/o:29218 no yes 16 70 92000001 11A03 Baltic journal of economics 19 1 84 104 2019