Natural Gas Prices, Inflation Expectations, and the Pass-Through to Euro Area Inflation
Böck M, Zörner TO (2025)
Publication Type: Journal article, Original article
Publication year: 2025
Journal
Book Volume: 141
Pages Range: 1-14
Article Number: 108061
URI: https://www.sciencedirect.com/science/article/pii/S0140988324007709?via=ihub
DOI: 10.1016/j.eneco.2024.108061
Open Access Link: https://doi.org/10.1016/j.eneco.2024.108061
Abstract
This paper examines the recent increase in natural gas prices, the sensitivity of inflation expectations, and the pass-through to inflation. Using a semi-structural vector autoregression, we identify a natural gas price shock in the euro area with a combination of sign and zero restrictions. We rely on market-based measures of inflation expectations. The results show that shocks to the real price of natural gas affect both inflation and inflation expectations. To investigate the relative importance of the pass-through of inflation expectations to inflation, we conduct a structural scenario analysis in which inflation expectations are insensitive to movements in the real price of natural gas. The results indicate the presence of strong second-round effects via expectations. Our analysis provides guidance for policymakers to better understand the potential trade-offs of different policy responses to natural gas price shocks, particularly with respect to the potential for a de-anchoring of inflation expectations.
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Austria (AT)How to cite
APA:
Böck, M., & Zörner, T.O. (2025). Natural Gas Prices, Inflation Expectations, and the Pass-Through to Euro Area Inflation. Energy Economics, 141, 1-14. https://doi.org/10.1016/j.eneco.2024.108061
MLA:
Böck, Maximilian, and Thomas O. Zörner. "Natural Gas Prices, Inflation Expectations, and the Pass-Through to Euro Area Inflation." Energy Economics 141 (2025): 1-14.
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