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Oil price pass-through into consumer prices: Evidence from U.S. weekly data

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  • Yilmazkuday, Hakan

Abstract

Using U.S. data from Monday of each week, this paper estimates oil price pass-through into consumer prices (PC) and oil price pass-through into gasoline retail prices (PG) in a continuous way. The results show that PC (PG) is about 0.5% (13%) after a week, 1.5% (37%) after three months, and 4.2% (50%) in the long run. The estimated PC is further decomposed into direct PC (representing oil price effects on consumer prices through gasoline retail prices) versus indirect PC (representing oil price effects on consumer prices through ex-gasoline prices), suggesting that long-run oil price effects on consumer prices are mostly through ex-gasoline consumer prices. Despite having distinct pass-through estimates, about three-fourths of weekly volatility in both gasoline retail and consumer prices are explained by oil price shocks in the long run.

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  • Yilmazkuday, Hakan, 2021. "Oil price pass-through into consumer prices: Evidence from U.S. weekly data," Journal of International Money and Finance, Elsevier, vol. 119(C).
    • Handle: RePEc:eee:jimfin:v:119:y:2021:i:c:s0261560621001455
    DOI: 10.1016/j.jimonfin.2021.102494
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    More about this item

    Keywords

    Pass-Through; Oil Prices; Gasoline Prices; Consumer Prices; Weekly Data;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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