Inflation expectations and time variations in the oil price pass‐through
研究发现1970年代以来油价对通胀的传导效应先减弱后逆转，近期核心通胀和总体通胀对油价冲击更敏感，通胀预期通过第二轮效应放大了这一影响。
Abstract Previous literature suggests that the pass‐through of oil price shocks to inflation rates became weaker since the 1970s. I use a time‐varying parameter VAR to show that this trend has recently been reversed with headline and core inflation rates responding more sensitive to oil price shocks. Based on a counterfactual analysis, I offer evidence that increasingly important second round effects propagated via inflation expectations play a key role for these dynamics. Finally, I illustrate that oil price shocks in general and this expectation channel more specifically contributed substantially to the recent surge in inflation rates.