WorkingPaperSeriesThepass-throughtoinflationofgaspriceshocksLuciaLópez,FlorensOdendahl,SusanaPárraga,EdgarSilgado-GómezDisclaimer:ThispapershouldnotbereportedasrepresentingtheviewsoftheEuropeanCentralBank(ECB).TheviewsexpressedarethoseoftheauthorsanddonotnecessarilyreflectthoseoftheECB.No2968AbstractThispaperusesaBayesianStructuralVectorAutoregressive(BSVAR)frameworktoestimatethepass-throughofunexpectedgaspricesupplyshocksonHICPinflationintheeuroareaanditsfourlargesteconomies.Incomparisontooilpriceshocks,gaspriceshockshaveapproximatelyone-thirdsmallerpass-throughtoheadlineinflation.Country-specificresultsindicategaspriceincreasesmattermoreforGerman,SpanishandItalianinflationthanforFrenchinflation,hingingontherelianceonenergycommoditiesinconsumption,production,anddifferentelectricitypricesregulation.Consistentwithgasbecomingaprominentenergycommodityintheeuroarea,includingtime-variationthroughatime-varyingparameterBVARdemonstratesasubstantiallylargerimpactofgaspriceshocksonHICPinflationinrecentyears.TheempiricalestimatesarethenrationalizedusingaNewKeynesianDynamicStochasticGeneralEquilibrium(NK-DSGE)modelaugmentedwithenergy.Inthemodel,theelasticityofsubstitutionbetweengasandnon-energyinputsplaysacriticalroleinexplainingtheinflationaryeffectsofgasshocks.Adecompositionoftherecentinflationdynamicsintothemodelst...
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