不确定性是否放大了汽油价格冲击的通胀传导效应？

IF 14.2 2区经济学 Q1 ECONOMICS

Energy Economics Pub Date : 2025-03-06 DOI:10.1016/j.eneco.2025.108348

Daniel Gründler, Johann Scharler

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引用次数: 0

摘要

我们研究了美国通货膨胀的不确定性对汽油价格冲击的反应，以及不确定性的内生反应对这些冲击的通货膨胀效应的影响有多大。使用随机波动的VAR，允许波动对水平冲击的延迟内生响应，我们发现与美国通胀相关的不确定性随着不利的汽油价格冲击而上升。一项反事实的研究表明，汽油价格冲击有助于解释通货膨胀的不确定性，但从通货膨胀的不确定性到通货膨胀的反馈在数量上可以忽略不计。

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Does uncertainty amplify the inflation pass-through of gasoline price shocks?

We study how U.S. inflation uncertainty responds to gasoline price shocks and how strongly the endogenous response of uncertainty influences the inflationary effects of these shocks. Using a VAR with stochastic volatility, which allows for delayed endogenous responses of volatility to level shocks, we find that uncertainty associated with U.S. inflation rises in response to adverse gasoline price shocks. A counterfactual exercise shows that gasoline price shocks help explain inflation uncertainty, but the feedback from inflation uncertainty to inflation is quantitatively negligible.

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来源期刊

Energy Economics ECONOMICS-

CiteScore

18.60

自引率

12.50%

发文量

524

期刊介绍： Energy Economics is a field journal that focuses on energy economics and energy finance. It covers various themes including the exploitation, conversion, and use of energy, markets for energy commodities and derivatives, regulation and taxation, forecasting, environment and climate, international trade, development, and monetary policy. The journal welcomes contributions that utilize diverse methods such as experiments, surveys, econometrics, decomposition, simulation models, equilibrium models, optimization models, and analytical models. It publishes a combination of papers employing different methods to explore a wide range of topics. The journal's replication policy encourages the submission of replication studies, wherein researchers reproduce and extend the key results of original studies while explaining any differences. Energy Economics is indexed and abstracted in several databases including Environmental Abstracts, Fuel and Energy Abstracts, Social Sciences Citation Index, GEOBASE, Social & Behavioral Sciences, Journal of Economic Literature, INSPEC, and more.