Stephen Chundama | CeFiMs London (original) (raw)
Papers by Stephen Chundama
International Journal of Empirical Economics
This study explores the effect of disaggregated oil price shocks on Zambia's historic headline in... more This study explores the effect of disaggregated oil price shocks on Zambia's historic headline inflation rates. To quantify the contemporaneous impact of oil price shocks on inflation, a structural Vector Autoregressive Model (SVAR) is utilized, which is supplemented with Impulse Response Functions (IRFs), Granger Causality Tests, and Forecast Error Variance Decomposition (FEVD). After satisfying the cointegration criteria, long-run relationships are examined using the Vector Error Correction Model (VECM). The findings show that decomposed oil price shocks do not have a short-run contemporaneous impact on inflation at the 5% level and that oil price shocks do not Granger-cause inflation. The insignificance of the short-run inflationary pass-through effect is attributed to Zambia's historic price controls, fuel subsidies, exchange rate controls, and increased credibility of monetary policy. Notably, of the three types of oil price shocks, FEVD results show that global aggregate demand shocks are attributed for the largest variation in Zambia's inflation rates i.e. 1.8%. Long-run analysis using the VECM shows that global aggregate demand and oil supply shocks both have a significantly negative long-run impact on inflation, while oil-specific demand shocks have a significantly positive impact on inflation. The speed of adjustment of inflation back to equilibrium after a short-run deviation is shown to be significant and monotonic.
International Journal For Multidisciplinary Research
Oil price shocks have been argued to impact Real Effective Exchange Rates (REERs) in net oil impo... more Oil price shocks have been argued to impact Real Effective Exchange Rates (REERs) in net oil importing countries, mostly through the wealth-transfer effect, which involves the transfer of wealth from net oil-importers to net oil-exporters, and the Terms of Trade Channel. Since this analysis had not been done for the Zambian case by decomposing oil price shocks, a Structural Vector Autoregressive Model (SVAR) was used to measure the contemporaneous impact of oil price shocks on REERs, and was complemented by Impulse Response Functions (IRFs), Granger Causality Tests and Forecast Error Variance Decomposition (FEVD). The long-run impact was analyzed by the Vector Error Correction Model (VECM) after satisfaction of cointegration requirements. The findings revealed that decomposed oil price shocks had no short-run contemporaneous impact on REERs at the 5% level. Similarly, it was found that decomposed oil price shocks and the combined effect of all the variables in the system did not gra...
EPRA international journal of economic and business review, Sep 7, 2022
This study investigated the impact of decomposed oil price shocks on household consumption in Zam... more This study investigated the impact of decomposed oil price shocks on household consumption in Zambia from 1985-2019. A structural Vector Autoregressive Model (SVAR) was used to measure the contemporaneous impact of oil price shocks on household consumption, and was complemented by Impulse Response Functions (IRFs), Granger Causality Tests and Forecast Error Variance Decompositions (FEVD). The existence of long-run relationships was determined by cointegration tests. The findings revealed that oil price shocks neither had short-run nor long-run impacts on consumption at the 5% level. Notwithstanding, it was found that oil-specific demand granger-causes consumption and that oil-specific demand shocks were attributed for the largest variation in consumption i.e. 6.5%. The findings implied that historic fuel subsidies insulated consumers from the adverse effects of oil price shocks. Therefore, the Zambian Government should introduce smart, optimal energy subsidies which have a less distortionary effect on its fiscal position.
International Journal of Empirical Economics
This study explores the effect of disaggregated oil price shocks on Zambia's historic headline in... more This study explores the effect of disaggregated oil price shocks on Zambia's historic headline inflation rates. To quantify the contemporaneous impact of oil price shocks on inflation, a structural Vector Autoregressive Model (SVAR) is utilized, which is supplemented with Impulse Response Functions (IRFs), Granger Causality Tests, and Forecast Error Variance Decomposition (FEVD). After satisfying the cointegration criteria, long-run relationships are examined using the Vector Error Correction Model (VECM). The findings show that decomposed oil price shocks do not have a short-run contemporaneous impact on inflation at the 5% level and that oil price shocks do not Granger-cause inflation. The insignificance of the short-run inflationary pass-through effect is attributed to Zambia's historic price controls, fuel subsidies, exchange rate controls, and increased credibility of monetary policy. Notably, of the three types of oil price shocks, FEVD results show that global aggregate demand shocks are attributed for the largest variation in Zambia's inflation rates i.e. 1.8%. Long-run analysis using the VECM shows that global aggregate demand and oil supply shocks both have a significantly negative long-run impact on inflation, while oil-specific demand shocks have a significantly positive impact on inflation. The speed of adjustment of inflation back to equilibrium after a short-run deviation is shown to be significant and monotonic.
International Journal For Multidisciplinary Research
Oil price shocks have been argued to impact Real Effective Exchange Rates (REERs) in net oil impo... more Oil price shocks have been argued to impact Real Effective Exchange Rates (REERs) in net oil importing countries, mostly through the wealth-transfer effect, which involves the transfer of wealth from net oil-importers to net oil-exporters, and the Terms of Trade Channel. Since this analysis had not been done for the Zambian case by decomposing oil price shocks, a Structural Vector Autoregressive Model (SVAR) was used to measure the contemporaneous impact of oil price shocks on REERs, and was complemented by Impulse Response Functions (IRFs), Granger Causality Tests and Forecast Error Variance Decomposition (FEVD). The long-run impact was analyzed by the Vector Error Correction Model (VECM) after satisfaction of cointegration requirements. The findings revealed that decomposed oil price shocks had no short-run contemporaneous impact on REERs at the 5% level. Similarly, it was found that decomposed oil price shocks and the combined effect of all the variables in the system did not gra...
EPRA international journal of economic and business review, Sep 7, 2022
This study investigated the impact of decomposed oil price shocks on household consumption in Zam... more This study investigated the impact of decomposed oil price shocks on household consumption in Zambia from 1985-2019. A structural Vector Autoregressive Model (SVAR) was used to measure the contemporaneous impact of oil price shocks on household consumption, and was complemented by Impulse Response Functions (IRFs), Granger Causality Tests and Forecast Error Variance Decompositions (FEVD). The existence of long-run relationships was determined by cointegration tests. The findings revealed that oil price shocks neither had short-run nor long-run impacts on consumption at the 5% level. Notwithstanding, it was found that oil-specific demand granger-causes consumption and that oil-specific demand shocks were attributed for the largest variation in consumption i.e. 6.5%. The findings implied that historic fuel subsidies insulated consumers from the adverse effects of oil price shocks. Therefore, the Zambian Government should introduce smart, optimal energy subsidies which have a less distortionary effect on its fiscal position.