Accessible Version
Oil Price Pass-Through into Core Inflation Accessible Data
Figure 1: Oil price pass-through into core inflation
Left plot: Idiosyncratic component
| lag | US | EA | ||||
|---|---|---|---|---|---|---|
| IRF | up | down | IRF | up | down | |
| 0 | 0.09 | 0.17 | 0.00 | -0.09 | 0.01 | -0.19 |
| 1 | 0.11 | 0.19 | 0.03 | -0.06 | 0.05 | -0.18 |
| 2 | 0.18 | 0.27 | 0.09 | 0.01 | 0.13 | -0.10 |
| 3 | 0.08 | 0.17 | 0.00 | -0.04 | 0.07 | -0.15 |
| 4 | 0.02 | 0.11 | -0.07 | 0.00 | 0.12 | -0.11 |
| 5 | 0.05 | 0.14 | -0.05 | -0.08 | 0.04 | -0.19 |
| 6 | 0.02 | 0.11 | -0.07 | -0.02 | 0.09 | -0.13 |
| 7 | 0.01 | 0.06 | -0.04 | -0.02 | 0.05 | -0.08 |
| 8 | 0.00 | 0.04 | -0.04 | 0.01 | 0.05 | -0.04 |
| 9 | 0.01 | 0.04 | -0.03 | 0.00 | 0.04 | -0.04 |
| 10 | 0.01 | 0.04 | -0.02 | -0.02 | 0.02 | -0.06 |
| 11 | -0.01 | 0.02 | -0.03 | -0.01 | 0.03 | -0.04 |
| 12 | 0.00 | 0.02 | -0.02 | -0.01 | 0.02 | -0.05 |
| 13 | 0.00 | 0.02 | -0.01 | 0.00 | 0.02 | -0.02 |
| 14 | 0.00 | 0.02 | -0.01 | 0.01 | 0.03 | -0.01 |
| 15 | 0.01 | 0.02 | -0.01 | -0.01 | 0.01 | -0.02 |
| 16 | 0.00 | 0.01 | -0.01 | 0.00 | 0.01 | -0.01 |
| 17 | 0.00 | 0.01 | -0.01 | -0.01 | 0.01 | -0.02 |
| 18 | 0.00 | 0.01 | -0.01 | -0.01 | 0.00 | -0.02 |
| 19 | 0.00 | 0.01 | -0.01 | 0.00 | 0.01 | -0.01 |
| 20 | 0.00 | 0.01 | -0.01 | 0.00 | 0.01 | -0.01 |
| 21 | 0.00 | 0.01 | -0.01 | 0.00 | 0.00 | -0.01 |
| 22 | 0.00 | 0.01 | -0.01 | 0.00 | 0.01 | -0.01 |
| 23 | 0.00 | 0.01 | 0.00 | 0.00 | 0.00 | -0.01 |
| 24 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | -0.01 |
Right plot: Common component
| lag | US | EA | ||||
|---|---|---|---|---|---|---|
| IRF | up | down | IRF | up | down | |
| 0 | 0.05 | 0.09 | 0.01 | 0.00 | 0.03 | -0.02 |
| 1 | 0.05 | 0.08 | 0.01 | 0.03 | 0.06 | 0.00 |
| 2 | 0.03 | 0.06 | -0.01 | 0.04 | 0.07 | 0.00 |
| 3 | 0.04 | 0.08 | 0.00 | 0.01 | 0.04 | -0.03 |
| 4 | 0.05 | 0.08 | 0.01 | 0.05 | 0.08 | 0.01 |
| 5 | 0.03 | 0.07 | -0.01 | 0.03 | 0.06 | -0.01 |
| 6 | 0.05 | 0.09 | 0.01 | 0.04 | 0.07 | 0.00 |
| 7 | 0.03 | 0.07 | 0.00 | 0.03 | 0.06 | 0.00 |
| 8 | 0.03 | 0.06 | 0.00 | 0.03 | 0.06 | 0.00 |
| 9 | 0.03 | 0.06 | 0.01 | 0.03 | 0.05 | 0.00 |
| 10 | 0.03 | 0.05 | 0.00 | 0.02 | 0.05 | 0.00 |
| 11 | 0.03 | 0.05 | 0.00 | 0.02 | 0.05 | 0.00 |
| 12 | 0.02 | 0.05 | 0.00 | 0.02 | 0.04 | 0.00 |
| 13 | 0.02 | 0.04 | 0.00 | 0.02 | 0.04 | 0.00 |
| 14 | 0.02 | 0.04 | 0.00 | 0.02 | 0.04 | 0.00 |
| 15 | 0.02 | 0.04 | 0.00 | 0.02 | 0.04 | 0.00 |
| 16 | 0.02 | 0.04 | 0.00 | 0.02 | 0.04 | 0.00 |
| 17 | 0.02 | 0.04 | 0.00 | 0.02 | 0.04 | 0.00 |
| 18 | 0.02 | 0.03 | 0.00 | 0.02 | 0.03 | 0.00 |
| 19 | 0.02 | 0.03 | 0.00 | 0.02 | 0.03 | 0.00 |
| 20 | 0.02 | 0.03 | 0.00 | 0.02 | 0.03 | 0.00 |
| 21 | 0.02 | 0.03 | 0.00 | 0.02 | 0.03 | 0.00 |
| 22 | 0.01 | 0.03 | 0.00 | 0.01 | 0.03 | 0.00 |
| 23 | 0.01 | 0.03 | 0.00 | 0.01 | 0.03 | 0.00 |
| 24 | 0.01 | 0.03 | 0.00 | 0.01 | 0.03 | 0.00 |
Note: The right plot show the pass-through of an unexpected 10% increase in the real oil price into the common component, while the left plot show the pass-through into the idiosyncratic component. On each plot the thick blue line is the point estimate for the EA, while the thin blue lines are the 90% confidence bands. Likewise, the dotted red line and the shaded area are the point estimate and the confidence bands for the US, respectively. The x-axis represents months after the oil price increases, while the y-axis represents percentage points.
Figure 2: Oil price contribution to core inflation
| Year | US | EA | ||||
|---|---|---|---|---|---|---|
| HD | up | down | HD | up | down | |
| 1997 | 0.00 | 0.01 | -0.02 | -0.01 | 0.00 | -0.02 |
| 1998 | -0.12 | -0.04 | -0.20 | -0.10 | -0.01 | -0.19 |
| 1999 | -0.02 | 0.03 | -0.07 | -0.05 | 0.02 | -0.13 |
| 2000 | 0.13 | 0.22 | 0.03 | 0.10 | 0.21 | 0.00 |
| 2001 | 0.02 | 0.06 | -0.03 | 0.04 | 0.09 | -0.01 |
| 2002 | -0.01 | 0.02 | -0.04 | 0.00 | 0.04 | -0.03 |
| 2003 | 0.04 | 0.07 | 0.01 | 0.03 | 0.07 | -0.01 |
| 2004 | 0.08 | 0.13 | 0.03 | 0.05 | 0.09 | 0.01 |
| 2005 | 0.12 | 0.20 | 0.03 | 0.11 | 0.20 | 0.01 |
| 2006 | 0.11 | 0.20 | 0.02 | 0.11 | 0.22 | 0.01 |
| 2007 | 0.06 | 0.11 | 0.01 | 0.07 | 0.13 | 0.00 |
| 2008 | 0.11 | 0.21 | 0.01 | 0.12 | 0.23 | 0.01 |
| 2009 | -0.10 | -0.02 | -0.19 | -0.09 | 0.00 | -0.18 |
| 2010 | 0.01 | 0.03 | -0.01 | 0.01 | 0.02 | -0.01 |
| 2011 | 0.05 | 0.08 | 0.01 | 0.07 | 0.14 | 0.01 |
| 2012 | 0.00 | 0.01 | -0.01 | 0.03 | 0.06 | 0.00 |
| 2013 | 0.01 | 0.03 | -0.01 | 0.02 | 0.06 | -0.02 |
| 2014 | -0.02 | 0.00 | -0.03 | -0.01 | 0.01 | -0.03 |
| 2015 | -0.21 | -0.07 | -0.35 | -0.17 | -0.02 | -0.32 |
| 2016 | -0.17 | -0.03 | -0.31 | -0.19 | -0.02 | -0.35 |
| 2017 | -0.06 | 0.01 | -0.13 | -0.08 | 0.01 | -0.18 |
| 2018 | -0.03 | 0.01 | -0.08 | -0.05 | 0.02 | -0.12 |
| 2019 | 0.00 | 0.00 | -0.01 | -0.01 | 0.01 | -0.03 |
| 2020 | 0.00 | 0.01 | 0.00 | 0.00 | 0.01 | 0.00 |
Note: This plot shows the average contribution per year of real oil price to core HICP inflation measured in percentage points (y-axis). The thick black blue is the point estimate for the EA while the thin blue lines are the 90% confidence bands. Likewise, the dotted red line and the shaded area are the point estimate and the confidence bands for the US, respectively.