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Oil price pass-through to consumer prices and the inflationary environment: a STAR approach

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  • Atsushi Sekine

Abstract

Previous studies on the effects of oil price changes indicate that oil price pass-through to inflation has decreased in the United States since the Great Moderation. This paper investigates why oil price pass-through has decreased from the viewpoint of an inflationary environment. By estimating a smooth transition autoregressive model that considers past US inflation rates, I show that oil price pass-through is low in a low-inflation environment. This result suggests that the inflationary environment is important in explaining the declining oil price pass-through in the United States.

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  • Atsushi Sekine, 2020. "Oil price pass-through to consumer prices and the inflationary environment: a STAR approach," Applied Economics Letters, Taylor & Francis Journals, vol. 27(6), pages 484-488, March.
    • Handle: RePEc:taf:apeclt:v:27:y:2020:i:6:p:484-488
    DOI: 10.1080/13504851.2019.1636931
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    Cited by:

    1. Antonio J., Garzón & Luis A., Hierro, 2022. "Inflation, oil prices and exchange rates. The Euro’s dampening effect," Journal of Policy Modeling, Elsevier, vol. 44(1), pages 130-146.
    2. Garzon, Antonio J. & Hierro, Luis A., 2021. "Asymmetries in the transmission of oil price shocks to inflation in the eurozone," Economic Modelling, Elsevier, vol. 105(C).
    3. Hakan Yilmazkuday, 2024. "Pass-Through of Shocks into Different U.S. Prices," Working Papers 2401, Florida International University, Department of Economics.

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