Time variation in the inflation passthrough of energy prices

Todd Clark and Stephen Terry

No RWP 09-06, Research Working Paper from Federal Reserve Bank of Kansas City

Abstract: From Bayesian estimates of a vector autoregression (VAR) which allows for both coefficient drift and stochastic volatility, we obtain the following three results. First, beginning in approximately 1975, the responsiveness of core inflation to changes in energy prices in the United States fell rapidly and remains muted. Second, this decline in the passthrough of energy inflation to core prices has been sustained through a recent period of markedly higher volatility of shocks to energy inflation. Finally, reduced energy inflation passthrough has persisted in the face of monetary policy which quickly became less responsive to energy inflation starting around 1985.

Date: 2009
New Economics Papers: this item is included in nep-cba, nep-ene, nep-mac and nep-mon
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://www.kansascityfed.org/documents/5321/pdf-rwp09-06.pdf (application/pdf)

Related works:
Journal Article: Time Variation in the Inflation Passthrough of Energy Prices (2010)
Journal Article: Time Variation in the Inflation Passthrough of Energy Prices (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedkrw:rwp09-06

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Research Working Paper from Federal Reserve Bank of Kansas City Contact information at EDIRC.
Bibliographic data for series maintained by Zach Kastens ().