Are Oil Shocks Inflationary: Asymmetric and Nonlinear Specifications versus211 Changes in Regime

摘要

This paper estimates the effects of oil price changes on U.S. inflation in a211u001ePhillips curve framework, allowing for some of the asymmetries, nonlinearities, 211u001eand structural breaks that have been found in the literature on the real effects 211u001eof oil price shocks. It finds that since around 1980, oil price changes seem to 211u001eaffect inflation only through their direct share in a price index, with little or 211u001eno pass-through into core measures, while before 1980 oil shocks contributed 211u001esubstantially to core inflation. This structural-break characterization appears 211u001erobust to a variety of respecifications, and to fit the data better than 211u001easymmetric and nonlinear oil price alternatives. Preliminary evidence suggests 211u001ethat a change in the reaction of monetary policy to oil shocks is part of the 211u001eexplanation.