Home About Latest Browse RSS Advanced Search

Board of Governors of the Federal Reserve System (US)
Finance and Economics Discussion Series
Oil Price Pass-Through into Core Inflation
Cristina Conflitti
Matteo Luciani
Abstract

We estimate the oil price pass-through into consumer prices both in the US and in the euro area. In particular, we disentangle the specific effect that an oil price change might have on each disaggregate price, from the effect on all prices that an oil price change might have since it affects the whole economy. To do so, we first estimate a Dynamic Factor Model on a panel of disaggregate price indicators, and then we use VAR techniques to estimate the pass-through. Our results show that the oil price passes through core inflation only via its effect on the whole economy. This pass-through is estimated to be small, but statistically different from zero and long lasting.


Download Full text
Cite this item
Cristina Conflitti & Matteo Luciani, Oil Price Pass-Through into Core Inflation, Board of Governors of the Federal Reserve System (US), Finance and Economics Discussion Series 2017-085, 17 Aug 2017.
More from this series
JEL Classification:
Subject headings:
Keywords: Core inflation ; Disaggregate consumer prices ; Dynamic factor model ; Oil price ; Pass-through
DOI: 10.17016/FEDS.2017.085
For corrections, contact Ryan Wolfslayer ()
Fed-in-Print is the central catalog of publications within the Federal Reserve System. It is managed and hosted by the Economic Research Division, Federal Reserve Bank of St. Louis.

Privacy Legal