Jakob Feveile Adolfsen , Massimo Ferrari Minesso , Jente Esther Mork , Ine Van Robays
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引用次数: 0
Abstract
This paper develops a Bayesian VAR model to identify three structural shocks driving the European gas market: demand, supply, and inventory shocks. We document how gas price fluctuations have a heterogeneous pass-through to euro area prices depending on the underlying shock driving them. The pass-through is stronger and more persistent when gas prices are driven by aggregate demand or supply pressures, while inventory shocks have a weaker impact. Supply shocks, moreover, are found to pass through to all components of euro area inflation—producer prices, wages, and core inflation—which has implications for monetary policy. Finally, we document how the response of gas prices to shocks is non-linear and is significantly magnified in periods when the economy operates at capacity and, therefore, unemployment is low.
本文建立了一个贝叶斯 VAR 模型，以确定驱动欧洲天然气市场的三种结构性冲击：需求、供应和库存冲击。我们记录了天然气价格波动是如何对欧元区价格产生异质性传递的，这取决于驱动波动的基本冲击。当天然气价格受总需求或供应压力驱动时，传导性更强、更持久，而库存冲击的影响较弱。此外，我们还发现供应冲击会传导至欧元区通胀的所有组成部分--生产者价格、工资和核心通胀--从而对货币政策产生影响。最后，我们记录了天然气价格对冲击的非线性反应，在经济运行处于产能状态，因此失业率较低的时期，这种反应会明显放大。
期刊介绍：
Since its launch in 1982, Journal of International Money and Finance has built up a solid reputation as a high quality scholarly journal devoted to theoretical and empirical research in the fields of international monetary economics, international finance, and the rapidly developing overlap area between the two. Researchers in these areas, and financial market professionals too, pay attention to the articles that the journal publishes. Authors published in the journal are in the forefront of scholarly research on exchange rate behaviour, foreign exchange options, international capital markets, international monetary and fiscal policy, international transmission and related questions.
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