ECIN Replication Package for "Inflation expectations and time variations in the oil price pass-through"
Principal Investigator(s): View help for Principal Investigator(s) Daniel Gründler, University of Innsbruck
Version: View help for Version V1
Name | File Type | Size | Last Modified |
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replication | 07/11/2025 01:20:PM | ||
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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:
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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:
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Oil price shock;
expectations;
inflation;
TVPVAR;
time variation;
counterfactual analysis
JEL Classification:
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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
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:
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ECIN-Nov-2024-0481
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