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ECIN Replication Package for "Inflation expectations and time variations in the oil price pass-through"

Name: ECIN Replication Package for "Inflation expectations and time variations in the oil price pass-through"
Published: 2025-07-11
License: https://creativecommons.org/licenses/by/4.0

Principal Investigator(s): View help for Principal Investigator(s) Daniel Gründler, University of Innsbruck

Version: View help for Version V2

Name	File Type	Size	Last Modified
replication			08/11/2025 08:03:AM
README.pdf	application/pdf	276.3 KB	08/11/2025 04:00:AM

Project Citation:

Gründler, Daniel. ECIN Replication Package for “Inflation expectations and time variations in the oil price pass-through.” Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2025-08-11. https://doi.org/10.3886/E235802V2

Project Description

Summary: Previous literature suggests that the pass-through of oil price shocks to inflation rates became weaker since the 1970s. I use a time-varying parameter VAR to show that this trend has recently been reversed with headline and core inflation rates responding more sensitive to oil price shocks. Based on a counterfactual analysis, I offer evidence that increasingly important second round effects propagated via inflation expectations play a key role for these dynamics. Finally, I illustrate that oil price shocks in general and this expectation channel more specifically contributed substantially to the recent surge in inflation rates.

Scope of Project

Subject Terms: Oil price shock; expectations; inflation; TVPVAR; time variation; counterfactual analysis

JEL Classification:
      C11 Bayesian Analysis: General
      C32 Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
      D84 Expectations; Speculations
      E31 Price Level; Inflation; Deflation
      Q41 Energy: Demand and Supply; Prices
      Q43 Energy and the Macroeconomy

Manuscript Number: ECIN-Nov-2024-0481

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