Energy shocks in the Euro area: Disentangling the pass-through from oil and gas prices to inflation

Chiara Casoli, Matteo Manera () and Daniele Valenti

Journal of International Money and Finance, 2024, vol. 147, issue C

Abstract: We develop a Bayesian Structural VAR model to study the relationship between different energy shocks and inflation dynamics in Europe. Specifically, we model the endogenous transmission from shocks identified by the global market of crude oil and the European natural gas market to two target macroeconomic variables, i.e. inflation expectations and realized headline inflation rate. Our results demonstrate that, since the post-pandemic recovery, inflation in the Euro area is mostly driven by energy price shocks and aggregate supply factors. In particular, the high peaks of the Eurozone inflation are mostly associated with natural gas supply shocks.

Keywords: Bayesian structural VARs; Inflation; Energy shocks; Oil and gas markets (search for similar items in EconPapers)
JEL-codes: C11 E31 Q41 Q43 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (5)

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Related works:
Working Paper: Energy shocks in the Euro area: disentangling the pass-through from oil and gas prices to inflation (2022)
Working Paper: Energy shocks in the Euro area: disentangling the pass-through from oil and gas prices to inflation (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:147:y:2024:i:c:s0261560624001414

DOI: 10.1016/j.jimonfin.2024.103154

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