Oil Price-Inflation Pass-Through in the United States over 1871 to 2018: A Wavelet Coherency Analysis

Aviral Tiwari, Juncal Cunado (), Abdulnasser Hatemi-J and Rangan Gupta
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Juncal Cunado: University of Navarra, School of Economics, Edificio Amigos, E-31080 Pamplona, Spain

No 201865, Working Papers from University of Pretoria, Department of Economics

Abstract: This paper analyzes the oil price-inflation pass-through by studying the relationship between oil prices and U.S. Consumer Price Index (CPI) over the period January 1871- June 2018, at different frequencies, using a wavelet coherency analysis. Our main results suggest that the relationship between oil prices and CPI has changed over the analyzed time period, implying a decrease in the oil price- inflation pass-through over time. Furthermore, this relationship also varies across frequencies, suggesting that the evidence of oil price-inflation pass-through with oil prices leading CPI is weaker in the short-run.

Keywords: Oil prices; Consumer Price Index; Pass-through; Wavelet coherency (search for similar items in EconPapers)
JEL-codes: C49 E31 Q43 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2018-10
New Economics Papers: this item is included in nep-ene, nep-his and nep-mac
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Citations: View citations in EconPapers (14)

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Journal Article: Oil price-inflation pass-through in the United States over 1871 to 2018: A wavelet coherency analysis (2019)
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