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Oil Shocks and Inflation The Case of Chile and a Sample of Industrial Countries

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Pablo Pincheira
Álvaro García

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Abstract

We evaluate the inflationary impact of an oil shock on several components of the consumer price index for several countries including Chile. All the countries in our sample display a significant response in headline inflation, energy inflation and non-core inflation. We also find a significant response in core inflation for all countries other than the U.S and France. Chile’s inflationary response is one of the highest and most persistent of the sample. Indeed, Chile’s response in headline, total and non-core inflation is above average. Notwithstanding the above, we notice that the size and persistence of inflation responses are rather moderate.

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Paper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 413.

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Date of creation: Mar 2007
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Handle: RePEc:chb:bcchwp:413

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  1. Hamilton, James D., 1996. "This is what happened to the oil price-macroeconomy relationship," Journal of Monetary Economics, Elsevier, vol. 38(2), pages 215-220, October. [Downloadable!] (restricted)
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  2. Juan Pablo Medina & Claudio Soto, 2005. "Oil Shocks and Monetary Policy in an Estimated DSGE Model for a Small Open Economy," Working Papers Central Bank of Chile 353, Central Bank of Chile. [Downloadable!]
  3. Bharat Trehan & Jason Tjosvold, 2006. "Inflation targets and inflation expectations: some evidence from the recent oil shocks," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue Sep 1. [Downloadable!]
  4. Kim, Soyoung & Roubini, Nouriel, 2000. "Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach," Journal of Monetary Economics, Elsevier, vol. 45(3), pages 561-586, June. [Downloadable!] (restricted)
  5. Rómulo Chumacero, 2003. "A Toolkit for Analyzing Alternative Policies in The Chilean Economy," Working Papers Central Bank of Chile 241, Central Bank of Chile. [Downloadable!]
  6. Hamilton, James D, 1983. "Oil and the Macroeconomy since World War II," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 228-48, April. [Downloadable!] (restricted)
  7. Hooker, Mark A., 1996. "What happened to the oil price-macroeconomy relationship?," Journal of Monetary Economics, Elsevier, vol. 38(2), pages 195-213, October. [Downloadable!] (restricted)
  8. Kilian, Lutz, 2005. "Exogenous Oil Supply Shocks: How Big Are They and How Much do they Matter for the US Economy?," CEPR Discussion Papers 5131, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  9. Love, Inessa & Zicchino, Lea, 2002. "Financial development and dynamic investment behavior : evidence from panel vector autoregression," Policy Research Working Paper Series 2913, The World Bank. [Downloadable!]
  10. Wong, Ka-fu, 2000. "Variability in the Effects of Monetary Policy on Economic Activity," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 32(2), pages 179-98, May.
  11. Thomas Dalsgaard & Christophe André & Pete Richardson, 2001. "Standard Shocks in the OECD Interlink Model," OECD Economics Department Working Papers 306, OECD, Economics Department. [Downloadable!]
  12. Strongin, Steven, 1995. "The identification of monetary policy disturbances explaining the liquidity puzzle," Journal of Monetary Economics, Elsevier, vol. 35(3), pages 463-497, June. [Downloadable!] (restricted)
  13. Luis F. Céspedes & Marcelo Ochoa & Claudio Soto, 2005. "The New Keynesian Phillips Curve in an Emerging Market Economy: The Case of Chile," Working Papers Central Bank of Chile 355, Central Bank of Chile. [Downloadable!]
  14. Frederic S. Mishkin & Klaus Schmidt-Hebbel, 2007. "Does Inflation Targeting Make a Difference?," NBER Working Papers 12876, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  15. Ben Hunt & Peter Isard & Douglas Laxton, . "The Macroeconomic Effects of Higher Oil Prices," IMF Working Papers 01/14, International Monetary Fund.
  16. Kilian, Lutz, 2006. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," CEPR Discussion Papers 5994, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  17. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January. [Downloadable!] (restricted)
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