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Does the inflation pass-through of gasoline price shocks depend on the level of inflation?

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  • Gründler, Daniel

Abstract

I show that the pass-through of gasoline price shocks to inflation expectations and to a lesser extent realized inflation is larger if inflation is high. Pronounced historical contributions to inflation expectations mainly occurred in highly inflationary periods.

Suggested Citation

  • Gründler, Daniel, 2024. "Does the inflation pass-through of gasoline price shocks depend on the level of inflation?," Economics Letters, Elsevier, vol. 243(C).
    • Handle: RePEc:eee:ecolet:v:243:y:2024:i:c:s0165176524004129
    DOI: 10.1016/j.econlet.2024.111928
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    Keywords

    Gasoline price shock; Inflation; Expectations; TVAR; State dependency;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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