Energy shocks in the Euro area: disentangling the pass-through from oil and gas prices to inflation

Chiara Casoli, Matteo Manera () and Daniele Valenti
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Chiara Casoli: Fondazione Eni Enrico Mattei
Daniele Valenti: Fondazione Eni Enrico Mattei and Department of Environmental Science and Policy – DESP, University of Milano

No 2022.45, Working Papers from Fondazione Eni Enrico Mattei

Abstract: We develop a Bayesian Structural VAR (SVAR) model to study the relationship between different kinds of energy shocks and inflation dynamics in Europe. Specifically, we include in our specification two separate energy markets (oil and natural gas) and two target macroeconomic variables, measuring inflation expectations and the realized headline inflation. Our results demonstrate that, during the last year, inflation in the Euro area is more affected from energy price shocks, particularly those coming from the natural gas sector. The high peaks of the Eurozone inflation are mainly associated with gas consumption demand shocks and, to a lesser extent, to oil and gas supply shocks.

Keywords: Energy shocks; Oil and gas markets; Inflation; Bayesian Structural VARs (search for similar items in EconPapers)
JEL-codes: C11 E31 Q41 Q43 (search for similar items in EconPapers)
Date: 2022-12
New Economics Papers: this item is included in nep-eec, nep-ene and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Energy shocks in the Euro area: Disentangling the pass-through from oil and gas prices to inflation (2024)
Working Paper: Energy shocks in the Euro area: disentangling the pass-through from oil and gas prices to inflation (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:fem:femwpa:2022.45

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