Oil Price Pass-Through into Consumer Prices: Evidence from U.S. Weekly Data

Hakan Yilmazkuday

No 2118, Working Papers from Florida International University, Department of Economics

Abstract: Using U.S. data from Monday of each week, this paper estimates oil price pass-through into consumer prices (PC) and oil price pass-through into gasoline retail prices (PG) in a continuous way. The results show that PC (PG) is about 0.5% (13%) after a week, 1.5% (37%) after three months, and 4.2% (50%) in the long run. The estimated PC is further decomposed into direct PC (representing oil price effects on consumer prices through gasoline retail prices) versus indirect PC (representing oil price effects on consumer prices through ex-gasoline prices), suggesting that long-run oil price effects on consumer prices are mostly through ex-gasoline consumer prices. Despite having distinct pass-through estimates, about three-fourths of weekly volatility in both gasoline retail and consumer prices are explained by oil price shocks in the long run.

Keywords: Pass-Through; Oil Prices; Gasoline Prices; Consumer Prices; Weekly Data (search for similar items in EconPapers)
JEL-codes: E31 Q43 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2021-09
New Economics Papers: this item is included in nep-ene, nep-isf and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://economics.fiu.edu/research/pdfs/2021_working_papers/21181.pdf First version, 2021 (application/pdf)

Related works:
Journal Article: Oil price pass-through into consumer prices: Evidence from U.S. weekly data (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fiu:wpaper:2118

Access Statistics for this paper

More papers in Working Papers from Florida International University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Sheng Guo ().