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Do inflation expectations propagate the inflationary impact of real oil price shocks?: Evidence from the Michigan survey

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Abstract

This paper presents evidence that inflation expectations, as measured by the Michigan Survey of consumers, only play a minimal role in the propagation of real oil price shocks into inflation. This is despite evidence which confirms in flation expectations are sensitive to real oil price shocks. Further analysis exploring structural breaks suggest at some point after the mid-1990s, inflation expectations may have played no part in propagating real oil price shocks into inflation.

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  • Benjamin Wong, 2015. "Do inflation expectations propagate the inflationary impact of real oil price shocks?: Evidence from the Michigan survey," Reserve Bank of New Zealand Discussion Paper Series DP2015/01, Reserve Bank of New Zealand.
  • Handle: RePEc:nzb:nzbdps:2015/01
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    Cited by:

    1. Robert G Murphy & Adam Rohde, 2018. "Rational Bias in Inflation Expectations," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 44(1), pages 153-171, January.
    2. Güneş Kamber & Benjamin Wong, 2018. "Global factors and trend inflation," BIS Working Papers 688, Bank for International Settlements.
    3. Geiger, Martin & Scharler, Johann, 2016. "How do Macroeconomic Shocks affect Expectations? Lessons from Survey Data," Annual Conference 2016 (Augsburg): Demographic Change 145747, Verein für Socialpolitik / German Economic Association.

    More about this item

    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
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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