Oil Price Pass-Through into Consumer Prices: Evidence from U.S. Weekly Data

30 Pages Posted: 31 Aug 2019 Last revised: 26 Aug 2021

See all articles by HAKAN YILMAZKUDAY

HAKAN YILMAZKUDAY

Florida International University (FIU) - Department of Economics

Date Written: August 15, 2021

Abstract

Using U.S. data from Monday of each week, this paper estimates oil price pass-through into consumer prices (PC) and oil price pass-through into gasoline retail prices (PG) in a continuous way. The results show that PC (PG) is about 0.5% (13%) after a week, 1.5% (37%) after three months, and 4.2% (50%) in the long run. The estimated PC is further decomposed into direct PC (representing oil price effects on consumer prices through gasoline retail prices) versus indirect PC (representing oil price effects on consumer prices through ex-gasoline prices), suggesting that long-run oil price effects on consumer prices are mostly through ex-gasoline consumer prices. Despite having distinct pass-through estimates, about three-fourths of weekly volatility in both gasoline retail and consumer prices are explained by oil price shocks in the long run.

Keywords: Pass-Through, Oil Prices, Gasoline Prices, Consumer Prices, Weekly Data

JEL Classification: E31, Q43

Suggested Citation

Yilmazkuday, Hakan, Oil Price Pass-Through into Consumer Prices: Evidence from U.S. Weekly Data (August 15, 2021). Journal of International Money and Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3443245 or http://dx.doi.org/10.2139/ssrn.3443245

Hakan Yilmazkuday (Contact Author)

Florida International University (FIU) - Department of Economics ( email )

11200 SW 8th Street
Miami, FL 33199
United States

HOME PAGE: http://faculty.fiu.edu/~hyilmazk/

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