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Do inflation expectations propagate the inflationary impact of real oil price shocks?: Evidence from the Michigan survey

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Abstract

This paper presents evidence that inflation expectations, as measured by the Michigan Survey of consumers, only play a minimal role in the propagation of real oil price shocks into inflation. This is despite evidence which confirms in flation expectations are sensitive to real oil price shocks. Further analysis exploring structural breaks suggest at some point after the mid-1990s, inflation expectations may have played no part in propagating real oil price shocks into inflation.

Suggested Citation

  • Benjamin Wong, 2015. "Do inflation expectations propagate the inflationary impact of real oil price shocks?: Evidence from the Michigan survey," Reserve Bank of New Zealand Discussion Paper Series DP2015/01, Reserve Bank of New Zealand.
    • Handle: RePEc:nzb:nzbdps:2015/01
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    More about this item

    JEL classification:

    • 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

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