Are Oil Shocks Inflationary? Asymmetric and Nonlinear Specifications versus Changes in Regime

Mark A Hooker

Journal of Money, Credit and Banking, 2002, vol. 34, issue 2, 540-61

Abstract: This paper identifies a structural break in core U.S. inflation Phillips curves such that oil prices contributed substantially before 1981, but since that time pass-through has been negligible. This characterization is robust to a variety of re-specifications and fits the data better than asymmetric and nonlinear oil price alternatives. Evidence does not support the hypotheses that declining energy intensity or deregulation of energy-producing and -consuming industries played an important role. Monetary policy did not itself become less accommodative of oil shocks, but may have helped create a regime where inflation is less sensitive to price shocks more generally.

Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:mcb:jmoncb:v:34:y:2002:i:2:p:540-61

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