Inflation Expectations and the Pass-Through of Oil Prices

• 成果类型: Article
• 署名作者: Aastveit, Knut Are; Bjornland, Hilde C.; Cross, Jamie L.
• 署名单位: Norges Bank; BI Norwegian Business School
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest_a_01073
• 发表日期: 2023-05
• 页码: 733-743
• 关键词: structural vector autoregressions; monetary-policy; sign restrictions; shocks; demand; DYNAMICS; FIRMS

摘要

Inflation expectations and the associated pass-through of oil price shocks depend on demand and supply conditions underlying the global oil market. We establish this result using a structural VAR model of the global oil market that jointly identifies transmissions of oil demand and supply shocks through real oil prices to both expected and actual inflation. We demonstrate that economic activity shocks have a significantly longer-lasting effect on inflation expectations and actual inflation than other types of real oil price shocks, and resolve disagreements around the role of oil prices in explaining the missing deflation puzzle of the Great Recession.