Gasoline Price Expectations as a Transmission Channel for Gasoline Price Shocks

Christina Anderl and Guglielmo Maria Caporale

No 11924, CESifo Working Paper Series from CESifo

Abstract: This paper uses data on 5-year gasoline price expectations from the US Michigan Survey of Consumers to investigate their role as a transmission channel for gasoline price shocks. Specifically, a Structural VAR model is estimated to carry out counterfactual analysis which shows that gasoline price expectations act as a transmitter of gasoline price shocks to US inflation and real activity. Further, nonlinear local projections with high-frequency instrumental variable identification indicate that gasoline price expectations propagate gasoline price shocks to inflation even when headline inflation expectations appear to be anchored, although their effects are not persistent and the strength of the transmission depends to some extent on the chosen definition of anchoring.

Keywords: gasoline price expectations, inflation expectations, anchoring; transmission channel, counterfactual analysis, Structural VAR, nonlinear local projections (search for similar items in EconPapers)
JEL-codes: C32 E31 E52 Q43 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_11924

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