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Oil Price Pass-Through into Core Inflation

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  • Cristina Conflitti
  • Matteo Luciani

Abstract

Quantifying the magnitude and establishing the timing of the pass-through of oil price changes to consumer prices is crucial for forecasting inflation. Characterizing this pass-through is particularly important because oil prices tend to undergo wide fluctuations. In this note we presented estimates of the oil price pass-through into consumer prices both in the US and in the euro area.

Suggested Citation

  • Cristina Conflitti & Matteo Luciani, 2017. "Oil Price Pass-Through into Core Inflation," FEDS Notes 2017-10-19-1, Board of Governors of the Federal Reserve System (U.S.).
  • Handle: RePEc:fip:fedgfn:2017-10-19-1
    DOI: 10.17016/2380-7172.2066
    Note: This note was revised on April 29, 2019 to correct the data table for Figure 1 on the accessible page. The previous version omitted the second table which describes the common component depicted in the right panel of the image.
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    Cited by:

    1. Kilian, Lutz & Zhou, Xiaoqing, 2020. "Oil Prices, Gasoline Prices and Inflation Expectations: A New Model and New Facts," CEPR Discussion Papers 15168, C.E.P.R. Discussion Papers.
    2. Tomiwa Sunday Adebayo, 2020. "Dynamic Relationship between Oil Price and Inflation in Oil Exporting Economy: Empirical Evidence from Wavelet Coherence Technique," Energy Economics Letters, Asian Economic and Social Society, vol. 7(1), pages 12-22, June.
    3. Tersoo Shimonkabir Shitile & Nuruddeen Usman, 2020. "Disaggregated Inflation and Asymmetric Oil Price Pass-Through in Nigeria," International Journal of Energy Economics and Policy, Econjournals, vol. 10(1), pages 255-264.
    4. Cristina Conflitti, 2020. "Alternative measures of underlying inflation in the euro area," Questioni di Economia e Finanza (Occasional Papers) 593, Bank of Italy, Economic Research and International Relations Area.

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    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
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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