Not a short-run noise! The low-frequency volatility of energy inflation

Michele Andreani and Federico Giri

Finance Research Letters, 2023, vol. 51, issue C

Abstract: This paper aims to assess the low-frequency dynamics of energy inflation’s volatility across a sample of six OECD advanced countries. The traditional argument attributes a transitory effect to energy inflation putting less attention on the longer-term economic consequences. Using the wavelet power spectrum, we provide evidence that most of energy inflation volatility is mainly concentrated at the frequency bands between approximately 1.5 to 5.5 years. Potentially, this result can have nontrivial consequences on how monetary policy should face changes in energy prices.

Keywords: Monetary policy; Energy inflation; Wavelet power spectrum (search for similar items in EconPapers)
JEL-codes: E00 E31 E58 Q43 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006535

DOI: 10.1016/j.frl.2022.103477

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