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Gasoline Price Expectations as a Transmission Channel for Gasoline Price Shocks

Author

Listed:
  • Christina Anderl
  • Guglielmo Maria Caporale

Abstract

This paper uses data on 5-year gasoline price expectations from the US Michigan Survey of Consumers to investigate their role as a transmission channel for gasoline price shocks. Specifically, a Structural VAR model is estimated to carry out counterfactual analysis which shows that gasoline price expectations act as a transmitter of gasoline price shocks to US inflation and real activity. Further, nonlinear local projections with high-frequency instrumental variable identification indicate that gasoline price expectations propagate gasoline price shocks to inflation even when headline inflation expectations appear to be anchored, although their effects are not persistent and the strength of the transmission depends to some extent on the chosen definition of anchoring.

Suggested Citation

  • Christina Anderl & Guglielmo Maria Caporale, 2025. "Gasoline Price Expectations as a Transmission Channel for Gasoline Price Shocks," CESifo Working Paper Series 11924, CESifo.
    • Handle: RePEc:ces:ceswps:_11924
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    File URL: https://www.ifo.de/DocDL/cesifo1_wp11924.pdf
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    More about this item

    Keywords

    gasoline price expectations; inflation expectations; anchoring; transmission channel; counterfactual analysis; Structural VAR; nonlinear local projections;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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