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  1. Gas price shocks and euro area inflation
    Author: Adolfsen, Jakob Feveile; Ferrari, Massimo Minesso; Mork, Jente Esther; Van Robays, Ine
    Published: [2024]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    This paper develops a Bayesian VAR model to identify three structural shocks driving the European gas market: demand, supply and inventory shocks. We document how gas price fluctuations have a heterogeneous pass-through to euro area prices depending... more

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    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 534
    Inter-library loan:
    No inter-library loan

     

    This paper develops a Bayesian VAR model to identify three structural shocks driving the European gas market: demand, supply and inventory shocks. We document how gas price fluctuations have a heterogeneous pass-through to euro area prices depending on the underlying shock driving them. The pass-through is stronger and more persistent when gas prices are driven by aggregate demand or supply pressures, while inventory shocks have a weaker impact. Supply shocks, moreover, are found to pass through to all components of euro area inflation - producer prices, wages and core inflation, which has implications for monetary policy. We finally document how the response of gas prices to shocks is non-linear and is significantly magnified in periods of low unemployment.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289963855
    Other identifier:
    Series: Working paper series / European Central Bank ; no 2905
    Subjects: Gas Price; Pass-through; Price; Euro Area
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen