Time Variation in the InflationPassthrough of Energy Prices 通货膨胀中的时间变化 能源价格传递

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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,averagequarterlycoreinflationintheUnitedStateswastwopercent.Thissustainedincreaseinoilprices,anditsevidentlytameimpactoncorepricepressures,ignitedagreatdealofinterestintheeconomiceffectsofenergypriceshocks.A

7、growingbodyofrecentstudies,includingHooker(2002),DeGregorioetal.(2007),vandenNoordandAndr´e(2007),BlanchardandGal´ı(2008),andChen(2009)andprimarilyfocusingonoilprices,reportsapronouncedreductionoverpastdecadesinthepassthroughofenergypricestobroaderinflationintheUn

8、itedStatesandelsewhere.ThisrecentworkisrelatedtoalargeliteratureonthebroadereconomiceffectsofoilpriceshocksdatingbacktoatleastHamilton(1983),whichdocumentsastat