Name File Type Size Last Modified
  replication 07/11/2025 01:20:PM
README.pdf application/pdf 254.5 KB 07/11/2025 09:17: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], 2025-07-11. https://doi.org/10.3886/E235802V1

Project Description

Summary:  View help for 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:  View help for Subject Terms Oil price shock; expectations; inflation; TVPVAR; time variation; counterfactual analysis
JEL Classification:  View help for 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:  View help for Manuscript Number ECIN-Nov-2024-0481


Related Publications

Published Versions

Export Metadata

Report a Problem

Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.

This material is distributed exactly as it arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.