Inflation, oil prices and exchange rates. The Euro’s dampening effect
This paper aims to analyse the relationship between the euro/dollar exchange rate and oil prices and examine what effect this relationship had on the transmission of oil price fluctuations to headline inflation in the euro area since the currency’s creation. We estimate an augmented Phillips curve i...
| Autores: | , |
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| Tipo de recurso: | artículo |
| Estado: | Versión aceptada para publicación |
| Fecha de publicación: | 2022 |
| País: | España |
| Institución: | Universidad de Sevilla (US) |
| Repositorio: | idUS. Depósito de Investigación de la Universidad de Sevilla |
| OAI Identifier: | oai:idus.us.es:11441/180424 |
| Acceso en línea: | https://hdl.handle.net/11441/180424 https://doi.org/10.1016/j.jpolmod.2021.12.001 |
| Access Level: | acceso abierto |
| Palabra clave: | Oil Price Pass-through Inflation dynamics Exchange rate |
| Sumario: | This paper aims to analyse the relationship between the euro/dollar exchange rate and oil prices and examine what effect this relationship had on the transmission of oil price fluctuations to headline inflation in the euro area since the currency’s creation. We estimate an augmented Phillips curve including changes in oil price, through which we study the role of the exchange rate in oil price pass-through by using different specifi- cations. The main findings reveal a positive relationship between the euro/dollar exchange rate and oil prices, such that an increase in the price of oil is followed by an appreciation in the euro. We also find that the transmission of oil price fluctuations to headline inflation in the euro area has been partially dampened by this appreciation in the euro/dollar exchange rate. These results do not hold for other economies with in- ternationally relevant currencies, such as Japan and the United Kingdom. These findings have important implications for the implementation of monetary policy in the euro area in the face of oil price shocks. © 2022 The Society for Policy Modeling. Published by Elsevier. |
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