We develop a Bayesian Structural VAR model to study the relationship between different energy shocks and inflation dynamics in Europe. Specifically, we model the endogenous transmission from shocks identified by the global market of crude oil and the European natural gas market to two target macroeconomic variables, i.e. inflation expectations and realized headline inflation rate. Our results demonstrate that, since the post-pandemic recovery, inflation in the Euro area is mostly driven by energy price shocks and aggregate supply factors. In particular, the high peaks of the Eurozone inflation are mostly associated with natural gas supply shocks.
Casoli, C., Manera, M., Valenti, D. (2024). Energy shocks in the Euro area: disentangling the pass-through from oil and gas prices to inflation. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 147(September 2024), 1-20 [10.1016/j.jimonfin.2024.103154].
Energy shocks in the Euro area: disentangling the pass-through from oil and gas prices to inflation
Manera, MatteoSecondo
;
2024
Abstract
We develop a Bayesian Structural VAR model to study the relationship between different energy shocks and inflation dynamics in Europe. Specifically, we model the endogenous transmission from shocks identified by the global market of crude oil and the European natural gas market to two target macroeconomic variables, i.e. inflation expectations and realized headline inflation rate. Our results demonstrate that, since the post-pandemic recovery, inflation in the Euro area is mostly driven by energy price shocks and aggregate supply factors. In particular, the high peaks of the Eurozone inflation are mostly associated with natural gas supply shocks.File | Dimensione | Formato | |
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