《Time Variation in the InflationPassthrough of Energy Prices 通貨膨脹中的時(shí)間變化 能源價(jià)格傳遞》由會(huì)員上傳分享，免費(fèi)在線閱讀，更多相關(guān)內(nèi)容在學(xué)術(shù)論文-天天文庫(kù)。

1、TimeVariationintheInflationPassthroughofEnergyPricesToddE.ClarkandStephenJ.TerryFebruary2009RWP09-06TimeVariationintheInflationPassthroughofEnergyPrices?ToddE.ClarkandStephenJ.TerryFebruary2009RWP09-06AbstractFromBayesianestimatesofavectorautoregression(VAR)which

2、allowsforbothcoefficientdriftandstochasticvolatility,weobtainthefollowingthreeresults.First,beginninginapproximately1975,theresponsivenessofcoreinflationtochangesinenergypricesintheUnitedStatesfellrapidlyandremainsmuted.Second,thisdeclineinthepassthroughofenergyi

3、nflationtocorepriceshasbeensustainedthrougharecentperiodofmarkedlyhighervolatilityofshockstoenergyinflation.Finally,reducedenergyinflationpassthroughhaspersistedinthefaceofmonetarypolicywhichquicklybecamelessresponsivetoenergyinflationstartingaround1985.Keywords:

4、oilpriceshocks,monetarypolicy,time-varyingparametersJELClassification:C11,E31,E52?EconomicResearchDepartment,1MemorialDriveKansasCity,Missouri64198.Telephone:(816)881-2575(Clark)and(816)881-2795(Terry).Fax:(816)881-2199.Email:todd.e.clark@kc.frb.organdstephen.ter

5、ry@kc.frb.org.TheviewsexpressedinthispaperarethoseoftheauthorsanddonotnecessarilyreflecttheviewsoftheFederalReserveBankofKansasCityortheFederalReserveSystem.1IntroductionFromtheendof2001tothesummerof2008,thespotpriceofabarrelofcrudeoil(WestTexasIntermediate)roseo

6、ver600percent,fromaround$20toalmost$150.Overthesameperiod,averagequarterlycorein?ationintheUnitedStateswastwopercent.Thissustainedincreaseinoilprices,anditsevidentlytameimpactoncorepricepressures,ignitedagreatdealofinterestintheeconomice?ectsofenergypriceshocks.A

7、growingbodyofrecentstudies,includingHooker(2002),DeGregorioetal.(2007),vandenNoordandAndr′e(2007),BlanchardandGal′?(2008),andChen(2009)andprimarilyfocusingonoilprices,reportsapronouncedreductionoverpastdecadesinthepassthroughofenergypricestobroaderin?ationintheUn

8、itedStatesandelsewhere.Thisrecentworkisrelatedtoalargeliteratureonthebroadereconomice?ectsofoilpriceshocksdatingbacktoatleastHamilton(1983),whichdocumentsastat