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Oil price pass-through into core inflation

Cristina Conflitti () and Matteo Luciani

No 405, Questioni di Economia e Finanza (Occasional Papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: This work estimates the effect that fluctuations in oil prices have on changes in consumer prices in both the United States and the euro area. For many of the basic items in the basket of goods used to estimate inflation, the effects of oil price trends are divided into two components: the first is linked to the specific characteristics of individual products (such as, for example, the importance of energy in the production process), while the second is related to macroeconomic factors which are in turn connected with changes in oil prices. The results show that changes in oil prices mainly pass through to core inflation (or rather to inflation excluding food and energy products) by means of macroeconomic factors; while the effect is limited, it is statistically different from zero and persists over time.

Keywords: Core inflation; oil price; dynamic factor model; pass-through; disaggregate consumer prices (search for similar items in EconPapers)
JEL-codes: C32 E31 E32 Q43 (search for similar items in EconPapers)
Date: 2017-11
New Economics Papers: this item is included in nep-ene, nep-mac and nep-mon
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http://www.bancaditalia.it/pubblicazioni/qef/2017-0405/QEF_405.pdf (application/pdf)

Related works:
Journal Article: Oil Price Pass-through into Core Inflation (2019) Downloads
Working Paper: Oil Price Pass-Through into Core Inflation (2019) Downloads
Working Paper: Oil Price Pass-Through into Core Inflation (2017) Downloads
Working Paper: Oil Price Pass-Through into Core Inflation (2017) Downloads
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