欧元区的能源冲击：厘清石油和天然气价格对通货膨胀的传导作用

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance Pub Date : 2024-08-08 DOI:10.1016/j.jimonfin.2024.103154

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引用次数: 0

摘要

我们建立了一个贝叶斯结构 VAR 模型来研究不同能源冲击与欧洲通胀动态之间的关系。具体来说，我们模拟了全球原油市场和欧洲天然气市场的冲击向两个目标宏观经济变量（即通胀预期和实际总体通胀率）的内生传导。我们的研究结果表明，自大流行病后的经济复苏以来，欧元区的通货膨胀主要是由能源价格冲击和总供给因素驱动的。特别是，欧元区通胀率的高峰主要与天然气供应冲击有关。

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Energy shocks in the Euro area: Disentangling the pass-through from oil and gas prices to inflation

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.

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来源期刊

Journal of International Money and Finance BUSINESS, FINANCE-

CiteScore

4.20

自引率

4.00%

发文量

141

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.