ECIN Replication Package for "Inflation expectations and time variations in the oil price pass-through"

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.<br><br>

既往研究表明，自20世纪70年代以来，石油价格冲击向通胀率的传导效应逐渐减弱。本文采用时变参数向量自回归（time-varying parameter VAR）模型，证实该趋势近期已出现反转：整体通胀（headline inflation）与核心通胀（core inflation）对石油价格冲击的响应敏感性显著增强。

基于反事实分析（counterfactual analysis），本文提供证据表明：通过通胀预期（inflation expectations）传导的愈发重要的第二轮效应（second round effects），是驱动上述通胀动态变化的核心因素。最后，本文阐明，总体而言石油价格冲击，尤其是这一通胀预期传导渠道，对近期通胀率的大幅攀升起到了重要推动作用。