 The effects of oil price shocks on inflation in the G7 countriesFenghua Wen, Keli Zhang and Xu Gong The North American Journal of Economics and Finance, 2021, vol. 57, issue C Abstract: This study examines the effects of three types of oil price shocks on inflation in the G7 countries with a new method of isolating oil price shocks. Based on monthly data from January 1997 to January 2019, we find that each oil price shock has the largest effect on U.S. inflation among the G7 countries and each country’s response to oil price shocks is different. Moreover, a rolling-window analysis shows that supply shocks, demand shocks and risk shocks have dynamic effects on inflation. The effect of supply shocks on inflation is strong before the financial crisis, but weakens during the crisis. However, the effect of demand shocks increases sharply in this time. The effect of risk shocks mainly occurs during the financial crisis and the European debt crisis. In addition, this study uses two ways to verify the robustness of the results. Our empirical results have important implications for policymakers and manufacturers, since the results provide a good explanation for the response of inflation in the G7 countries to the oil price shocks from different sources. Keywords: Dynamic impact; G7 countries; Oil; Inflation; Supply and demand shocks (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000279 DOI: 10.1016/j.najef.2021.101391 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
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