Oil price pass-through along the price chain in the euro area

César Castro and Rebeca Jiménez-Rodríguez

MPRA Paper from University Library of Munich, Germany

Abstract: This paper analyzes how oil price shocks are transmitted downstream to producer and consumer prices in the euro area at the highest disaggregate level. In doing so, we first generate an appropriate database that identifies each industrial production sector with its corresponding price of consumer goods for the euro area. We next estimate a constrained vector autoregressive model. Our findings show a statistically significant increase in producer prices after an oil price shock for branches with high oil consumptions, although this statistical pass-through is only partial. However, there is no evidence of a significant oil price pass-through to consumer prices for most branches, which suggests the adaptability of European producers from the most branches to higher oil price pressures without transmitting them to consumers (exceptions: mining, chemical and metal).

Keywords: Oil price; Industrial prices; Consumer prices; Disaggregation (search for similar items in EconPapers)
JEL-codes: E31 Q4 (search for similar items in EconPapers)
Date: 2016-03-22
New Economics Papers: this item is included in nep-eec, nep-ene, nep-mac and nep-opm
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https://mpra.ub.uni-muenchen.de/70227/1/MPRA_paper_70227.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/77561/8/MPRA_paper_77561.pdf revised version (application/pdf)

Related works:
Journal Article: Oil price pass-through along the price chain in the euro area (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:70227

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