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CanEnergySubsidiesHelpSlayInflation?
ChristopherErceg,MarcinKolasa,JesperLinde,
andAndreaPescatori
WP/24/81
IMFWorkingPapersdescriberesearchin
progressbytheauthor(s)andarepublishedto
elicitcommentsandtoencouragedebate.
TheviewsexpressedinIMFWorkingPapersare
thoseoftheauthor(s)anddonotnecessarily
representtheviewsoftheIMF,itsExecutiveBoard,
orIMFmanagement.
2024
APR
N
Ann
R
INTERNATIONALMONETARYFUNDii
©2024InternationalMonetaryFund
WP/24/81
IMFWorkingPaper
MonetaryandCapitalMarketsDepartment
ResearchDepartment
CanEnergySubsidiesHelpSlayInflation?*
ChristopherErceg,MarcinKolasa,JesperLinde,AndreaPescatori
AuthorizedfordistributionbyChristopherErceg
April2024
IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicit
commentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseofthe
author(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.
ABSTRACT:Manycountrieshaveusedenergysubsidiestocushiontheeffectsofhighenergypricesonhouseholdsandfirms.AfterdocumentingthetransmissionofoilsupplyshocksempiricallyintheUnitedStatesandtheEuroArea,weuseaNewKeynesianmodelingframeworktostudytheconditionsunderwhichthesepoliciescancurbinflation.Wefirstconsideraclosedeconomymodeltoshowthataconsumersubsidymaybecounterproductive,especiallyasaninflation-fightingtool,whenappliedgloballyorinasegmentedmarket,atleastunderempiricallyplausibleconditionsaboutwage-setting.Wefindmorescopeforenergysubsidiestoreducecoreinflationandstimulatedemandifintroducedbyasmallgroupofcountrieswhichcollectivelydonothavemuchinfluenceonglobalenergyprices.However,theconditionsunderwhichconsumerenergysubsidiesreduceinflationarestillquiterestrictive,andthistypeofpolicymaywellbecounterproductiveiftheresultingincreaseinexternaldebtishighenoughtotriggersizeableexchangeratedepreciation.Sucheffectsaremorelikelyinemergingmarketswithshallowforeignexchangemarkets.Iftheprimarygoalofusingfiscalmeasuresinresponsetospikesinenergypricesistoshieldvulnerablehouseholds,thentargetedtransfersaremuchmoreefficientastheyachievetheirgoalsatlowerfiscalcostandtransmitlesstocoreinflation.
JELClassificationNumbers:E32,E52,E64,H23,Q43
Keywords:
EnergyPrices;EnergySubsidies;MonetaryPolicy;InternationalSpillovers
Author’sE-MailAddress:
CErceg@IMF.org,MKolasa@IMF.org,JLinde@IMF.org,andAPescatori@IMF.org
*WethankTianchuQiandKailiChenforexcellentresearchassistanceandTobiasAdrian,JaebinAhn,GiovanniDell'Ariccia,Pierre-OlivierGourinchas,ZoltanJakab,andMathiasTrabandtforusefulcommentsanddiscussions.ThepaperalsobenefitedfromcommentsfromtheparticipantstotheCEPRParisSymposium,ESSIMinTarragona,NBU-NBPARCinCracow,CEFinNice,SummerWorkshoponEconomicsandFinanceinWarsaw,andseminarsattheEuropeanCentralBank,Bancad'Italia,andUniversityofOttawa.TheviewsexpressedhereareoursanddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.
1
1Introduction
Centralbankshavetightenedmonetarypolicyaggressivelytocombathighinflation,whichsurgedtomulti-decadepeaksinmanyeconomies.Whiletheinflationrunuphasbeendrivenbyanumberoffactors,includingsupplydisruptionsandmassivefiscalandmonetarystimu-lus,sharpincreasesinenergypriceshavebeenamajorcatalyst.Manycountriesrespondedbyusingvariousformsofenergysubsidies,oftentargetedmainlytohouseholds,tohelpcurb
inflationaswellastocushiontheeffectsonhouseholdpurchasingpower(Arreguietal.
,
2022
;
Sgaravattietal.
,
2023).Energysubsidiesareviewedbymanypolicymakersashelpful
inthefightagainstinflationonthegroundsthattheyarelikelytolimitbothfirstandsecondroundeffects,includingbyreducingpassthroughtowages.
Buttherearemanyopenquestionsabouttheconditionsunderwhichenergysubsidiesareactuallylikelytobeeffectiveinloweringinflation,or,conversely,whentheymaybecoun-terproductive.Whilewagestickinesshaslongbeenrecognizedaspivotalinthetransmissionofenergyshockstooverallpriceinflation(e.g.,
BlanchardandGali
,
2007),therehasbeen
littleanalysisofhowtheeffectsofenergysubsidiesoninflationdependonthemodalitiesofwage-setting,includingthedegreeofindexation.Similarly,itisunclearhowtheeffectsofsubsidiesdependonthestructureoftheenergymarket:couldinsulatingconsumersfromtheeffectsofhigherpricesinahighlysegmentedmarket–suchastheonefornaturalgasinEurope–hurtfirmsenoughtocausecoreinflationtorise?Andhowdotheeffectsofsubsidiesdependonwhethertheyareusedbyasingle“smalleconomy”orabroadsetofcountries?
Inthispaper,weuseaNewKeynesianmodelingframeworktohelpanalyzetheseques-tions,butfirstseekempiricalgroundingbyestimatinghowoilshockstransmittotheeconomyintheUnitedStates(US)andeuroarea(EA).Specifically,weuseaproxySVARapproachwheretheinstrumentisgivenbysurprisechangesinoilpricesfollowingtheannouncementofOPECmeetingdecisions.Theseriesofsurprisesisadoptedfrom
Ka¨nzig
(2021)andaggre
-gatedtoquarterlyfrequencyoverthe1983to2019sampleperiod.Fortheseidentifiedshocks,wefindthatanegativeoilsupplyshockwhichdrivesupthepriceofoilleadstohighercoreandheadlineinflation,lowerGDP,andhigherpolicyratesinitiallyinboththeUSandtheeuroarea.Importantly,wefindsignificantdifferencesinthetransmissiontowagesbetweenthesetwoeconomies,withoilpricehikeshavingsmalleffectsonnominalwagesintheUS–sothatrealwagesfallnotably–whereastheytendtoboostnominalwagesenoughintheeuroareathatthereal(product)wageactuallyrises.Thesedifferencesinwagetransmissionturnouttohavecriticalbearingonhowenergysubsidiesaffectinflation.
Turningtoourtheoreticalframework,webeginbyconsideringasimpleworkhorseclosedeconomymodelwithnominalwageandpricestickinessthatbuildson
Bodensteinetal.
(2011)
.Asinthatmodel,weassumetheeconomyhasanendowmentofenergythatisutilizedbothinproductionandconsumption,butenrichthesupplyblockbyallowingfor
2
alternativeformsofdynamicwageindexationwherewagesmayadjusttoeithercoreorheadlineinflation.Wealsoincorporateenergysubsidiesthatareproportionaltoenergyuse,thusresemblingthedominanttypeofsubsidiesintroducedinmanycountries,includingtheUSandEurope.
Usingthismodel,wedemonstrateformallythatprovidingenergysubsidiestoconsumersisessentiallyequivalenttotaxingenergyusebyfirms:bothpoliciesdecreasetheeffectiveenergycosttohouseholdswhileincreasingthatfacedbyfirms,thusresultinginthesameallocations
.1
Theimplicationisthatwhileconsumerenergysubsidiescanbedesignedtoshieldhouseholdsfromariseintherelativepriceofenergy(sayduetoasupplyshock),suchapolicyisessentiallyataxonfirmsthatdrivesuptheirmarginalcostsofproduction.
Weshowhowalog-linearizedversionofthemodelwithenergycanbeexpressedinaformisomorphictothatof
Ercegetal.
(2000),andusethisformulationtoderiveastriking
analyticalresult.Inparticular,weshowthatenergysubsidiestoconsumersnecessarilyboostcorepriceinflationifmonetarypolicykeepsemploymentatpotentialandwagesareindexedtocoreinflation(eitherfullyorpartially,includingthespecialcaseofnoindexation).Thisresultholdsforanyconfigurationofparametersassumingthatveryweakconditionsaresat-isfied(i.e.,implyingthatadverseenergyshocksreducethepotentialrealwage).Intuitively,whileconsumersubsidiesdamptheinitialriseinheadlineinflation,thesubsidiesdriveuptheenergypricesfacedbyproducers,whichtheypassalonggraduallythroughraisingproductprices.Hence,thesesubsidiesmakeinflation–bothcoreandheadline–morepersistent.
Theclosedeconomymodelisrelevantforconsideringthelikelyeffectsofconsumerenergysubsidiesintheglobaleconomywhenallcountriespursuesimilarpolicies,orinahighlysegmentedenergymarket(suchasfornaturalgasinEurope).Inshort,wefindusingquantitativesimulationsofourmodelthatevenahighdegreeofindexationtoheadlineconsumerpriceinflation–wellabovewhatwefindempiricallyfortheUS,oreventheeuroarea–isnotenoughforconsumerenergysubsidiestoreducecoreinflation.Thesesubsidiesindeedreducefirst-roundeffectsonheadlineinflationinresponsetoanenergypricespikeandthisreducesupwardpressureonwages,buttheyalsocausethepre-subsidyenergypricefacedbyfirmstoriseenoughthatthe“all-in”effectisariseincoreinflation.Welfareanalysisusingtheusualutility-basedmetricconfirmsthatconsumerenergysubsidieslowerwelfare.
Whileourworkhorsemodelcastsstrongdoubtontheabilityofconsumersubsidiestolowerinflationwhenappliedglobally,itstillmightbeexpectedthatasmallopeneconomy–orgroupofcountriestoosmalltoaffectglobalenergyprices–mightbeabletousesubsidiestolowerinflation.Toexplorethis,weuseatwo-countryextensionwithincompleteassetmarkets.Thisvariantallowsforthetransmissionofenergysupplyshockstodiffersubstantiallyacrossenergy-importersandexporters,andalsodependonthedepthofthe
1Thesealternativeapproachesdohavedifferentimplicationsforthepre-subsidyenergyprice,withtheconsumersubsidydrivinguptheenergyprice,andthetaxonfirmsdrivingitdown(hence,allocationswouldbeaffectedinasettingwithendogenousoilproduction).
3
foreignexchangemarketwhichheavilyinfluencestheexchangerateresponse.
Focusingonthesmallopeneconomycase,wefindmorescopeforconsumerenergysubsidiestoreducecoreinflationthanintheclosedeconomymodel.Thisseemsintuitive:suchsubsidiesshould“chokeoff”firstroundeffectsandthuslimitthescopeforsecondroundeffectstomaterialize,includingthroughwageindexation.Andfirmsshouldnotbe“bitten”byhigherglobalenergypricesgiventhehomecountry’ssmallshareintheglobalenergymarket.
Evenso,theconditionsunderwhichsubsidiesreducecoreinflationstillturnouttobesurprisinglyrestrictive.Althoughsubsidieshaveessentiallynoeffectonglobalenergyprices,theycausethetradebalancetodeteriorateandexchangeratetodepreciate.Thisexchangeratechannelcanbebigenoughthatsubsidiescancausecoreinflationtorise,unlesswageindexationtoconsumerpricesissufficientlyhigh.
2
Thedepreciationeffectislargerthemorepersistentthesubsidy(whichtypicallyislinkedtothepersistenceoftheunderlyingshocktoenergysupply)andislargerineconomieswithshallowforeignexchangemarkets,asisthecaseinmanyemergingmarketeconomies.
Thepolicyimplicationisthatconsumerenergysubsidiesmayhelpreducecoreinflationifimplementedbycountriesthatarearelativelysmallshareoftheglobalenergymarket;ifthesubsidiesaretemporary;ifwageindexationtoconsumerpricesishigh(sothatsecondroundeffectswouldbelargeintheabsenceofsubsidies);andiftheactionsaretakenbyeconomieswithwell-developedfinancialmarketsandmodestdebtlevels.Theseconditionsalignwellwiththosethat
Daoetal.
(2023)foundinthecaseoftheeuroarea,wheretheyarguethat
consumerenergysubsidieshelpedmitigatebothheadlineandcoreinflationpressures
.3
Butasforeshadowedbytheclosedeconomyresults,ourtwocountrymodelhighlightshowconsumersubsidiesarelesslikelytobeeffectiveinreducinginflationastheirusebecomesmorewidespread.Thepre-subsidyenergypricerisesbymore,makingitmorelikelythatsubsidiesboostinflation.Moreover,ourmodelhighlightstheadversespilloverstootheren-ergyimporters–thelatterexperiencebiggertradedeficits,currencydepreciation,andupsideinflationpressure.Thespilloversareparticularlyacuteforvulnerableemergingeconomieswiththinforeignexchangemarkets.
Whileourfocusislargelyonaggregatesupply,consumerenergysubsidiesalsohavedemandsideeffectsthatmayvarysignificantlyacrosshouseholds,andwhicharenotwell-capturedbyourframework.Indeed,ourwelfareresultsinparticularmaybeviewedasundulybiasedagainstsuchsubsidiesinsofarthemodeldoesnotallowforhowsubsidiesmayshieldpoorerandliquidity-constrainedhouseholdsfrommajorhitstotheirpurchasingpowerandconsumptionarisingfromenergyshocks–whichwasclearlyakeyaimofpolicymakers
2Energysubsidiestendtobehelpfulundertheseconditionsbychokingofffirst-roundeffectsthatwouldotherwiseexertlargepassthroughtocore.
3Wealsoshowthatapackageofenergysubsidiestofirmsaswellashouseholdsmaybeattractiveforasmall“energy-pricetaking”economy–supportingaggregatedemandwhileloweringinflation.
inadditiontorestrainingoverallinflation.
Toexplorethis,weincorporatehand-to-mouthhouseholdsintoourclosedeconomymodelasinthetwo-agentNewKeynesian(TANK)setupdevelopedby
Galietal.
(2007)and
Bilbiie
(2008),andshowthatourresultsarelargelyrobustevenwhencapturingthedemand-sideef
-fectsofenergyshocks.
4
Interestingly,weshowthatconsumerenergysubsidiescouldimprovewelfareinourTANKframeworkbyreducingconsumptioninequalityacrosshouseholds(i.e.,permanentincomeversushand-to-mouth).However,targetedtransferstohand-to-mouthhouseholdsaremoreefficientastheycanachievethisgoalatlowerfiscalcostandwithabetterinflation-outputtradeoff.Themainadvantageofsuchtransfersoverenergysubsidiesisthattheydonotdistortrelativeenergypricesfacedbyhouseholds,andhencepreservetheirincentivetoconserveenergy.Thislimitstheincreaseinthepre-subsidyenergypricefacedbyfirms,andhencelowersinflationpressure.
Ourpaperiscloselyrelatedtoaninsightfulrecentpaperby
Auclertetal.
(2023)which
exploresthetransmissionofoilshocksinanopeneconomyHANKmodel,andtheeffectsofconsumerenergysubsidies.Theseauthorsalsoshowhowsubsidiesmaybebeneficialinreducinginflationandboostingconsumptionforanindividual“small”country,butcanhavecounterproductiveeffectsifdeployedbyabroadsetofcountries.Ourpaperdiffersfromtheirworkinseveralimportantaspects.First,theirpaperfocusesheavilyonheterogeneityacrosshouseholdsinaHANKframeworkandassociateddistributionaleffects,whereasourstudydevotesmuchmoreattentiontothesupplyside(differentwageindexationschemesratherthanassumingfullindexationofwagestoconsumerprices).Second,weincorporatefeaturesaimedatcapturingfinancialvulnerabilities(suchasthinFXmarkets)thatinfluencehowsubsidiesoperatethroughopeneconomychannels.Third,weassumethecentralbankfollowsoptimalpolicyorusesaTaylor-stylereactionfunctionthatprovidesagoodapproximation.Thisturnsouttohaveimportantimplicationsforthepass-throughofenergypriceshocksandsubsidies.Alltold,ourpaperismorepessimisticintheabilitytouseconsumerenergysubsidiessuccessfullytoreduceinflation,eveninthecaseofasmallgroupofcountries(e.g.,showinghowsubsidiescanbecounterproductivethroughtradechannels).
Ourpaperalsodrawsontheextensiveearlierliteraturestudyingthetransmissionofen-ergypriceshocks.Keyempiricalcontributionsinclude
Hamilton
(1983),
Hamilton
(2003),
BarskyandKilian
(2004),
BlanchardandGali
(2007),
Kilian
(2009),
BaumeisterandHamil-
ton
(2019),and
Ka¨nzig
(2021)
.Weuseenergysupplyshocksidentifiedinthislastpapertoanalyzethereactionofwages.Anumberofpapersincorporateenergyintostructuralmacroeconomicmodels,butdonotstudytheeffectsofenergysubsidies,see
KimandLoun-
gani
(1992),
BackusandCrucini
(2000),
LeducandSill
(2004),
Bodensteinetal.
(2011),
BlanchardandRiggi
(2013),
Bodensteinetal.
(2018),
BaqaeeandFarhi
(2019),
Gagliardone
4DebortoliandGali(2018)arguethatasimpletwo-agentNewKeynesian(TANK)modelcanbea
goodapproximationofheterogeneousagentNewKeynesian(HANK)modelsregardingthetransmissionof
aggregateshockstomacroeconomicvariables.
4
5
andGertler
(2023),and
Pieroni
(2023),amongothers.Similarlyto
Auclertetal.
(2023),the
lastpaperusesaHANKsetupwhileweoptforamoreparsimoniousTANKmodelasanextensiontocapturehouseholdheterogeneityandanalyzethescopefortransfers.BylookingattheinteractionsbetweenpriceandnominalwagerigiditywithinNewKeynesianmodels,ourworkisrelatedtotheliteratureoriginatedby
Blanchard
(1986)anddrawsparticularly
on
Ercegetal.
(2000)and
Bodensteinetal.
(2008).
Arecentcontributioninthislineby
LorenzoniandWerning
(2023)considersboththetransmissionofsupplyanddemandshocks
andoptimalpolicyinacontinuoustimeframework(withinflationinterpretedasarisingfromconflictbetweenfirmsandworkersoverwages).
Thepaperisstructuredasfollows.Section2discussestheempiricalevidenceontheeffectsofenergypriceshocks,withaspecialfocusontheresponseofwages.Section3presentsasimpleclosedeconomymodelwithenergy.Section4offersanalyticalinsightsonthetransmissionofenergypriceshocksandsubsidies.ThesearecomplementedwithquantitativesimulationsdescribedinSection5.Section6presentstheversionofthemodelwithhand-to-mouthagentsandisfollowedbyanopeneconomyextensioninSection7.Section8concludes.
2EmpiricalEvidenceonOilShocksandWageAdjustment
Inthissection,weprovideempiricalevidenceontheresponseofwagesandconsumerpricestooilpriceshocksintheUnitedStatesandtheeuroarea.
First,weidentifyasourceofoilpricemovementsthatisnotcorrelatedwithotherfun-damentalshockstoavoidreversecausalityoraomittedvariablebias.Todoso,werelyon
Ka¨nzig
(2021)whoidentifiessurprisechangesinoilfuturespricesrelatedtoOPEC’s
meetingsdecisionsaboutproductiontargets.AsKnzigmeasuresthesechangesinatight
windowaroundtheannouncements,
5
itislikelythattheycanisolatetheimpactonoilpricesoftheunexpectedcomponentofOPEC’sdeliberations–analogouslytotheliteraturethatidentifiesmonetarypolicyshocks(e.g.,
Gurkaynaketal.,
2005;
GertlerandKaradi,
2015;
NakamuraandSteinsson,
2018,amongothers).SincemarketspaycloseattentiontoOPEC’s
decisions,areversecausalityoftheglobaleconomicoutlookshouldplausiblyberuledoutbecauseitshouldalreadybepricedinatthetimeoftheannouncement.OPEC’sdecisions
arenotrandomeventsbutastheKnzigshocksmeasureonlythecomponentnotanticipated
bymarkets,theirimmediateimpactonpricesshouldreflecttheelementofthedecisionthatsurprisedmarketparticipants
.6
Adistinctadvantageofusingtheseshocksrelativetothe
5Thewindowistakentobeoneday,usingWTIcrudefuturesstartingin1983tradedattheNewYorkMercantileExchange(NYMEX),whichisoneofthemostliquidandlargestmarketforcrudeoil.Forfurtherdetails,see
Ka¨nzig
(2021)
.
6NazerandPescatori
(2022)showthatitisthesurprisecomponentoftheOPEC(orOPEC+)decisions
thataffectsthemarketsincethesamedecisioncaninducepriceresponsesofdifferentsign.
6
standardapproachpioneeredby
Kilian
(2009)istobypassthedifficultiesofdisentangling
oildemandandoilproductionshocks.Evenso,wewillshowthatourresultsalsoholdwhenusingshocksmeasuredby
BaumeisterandHamilton
(2019)
.
Theseriesofoilpricesurprisesspanningfrom1983to2019areaggregatedatquarterlyfrequencyandusedasaninstrumentinanSVARmodel.Inadditiontothestandardoilmarketvariablessuchasrealoilprices(deflatedbyeithercoreorheadlineprices),oilproduction,andglobalindustrialproduction,ourproxySVARmodelalsoincludesrealGDP,coreorheadlineCPIinflation,theshort-termpolicyrate,aswellasnominalwageinflation.Allquantitiesandrelativepricesareinlogs,thepolicyratesinpercentagepoints,whilepriceandwageinflationaremeasuredaslogdifferences.WeuseidenticalSVARspecificationsfortheUSandtheeuroarea.Appendices
A.1
and
A.2
containadditionaldetailsontheproxySVARanddatadefinitions.
OurbaselineresultsarereportedinFigures
1
and
2
fortheUSandeuroarea,respectively.AccordingtotheproxySVARfortheUS,anincreaseinoilpricesdrivenbyanoilsupplynewsshockleadstoadeclineinnominalandrealwages.
7
Moreconcretely,anoilsupply-driven10percentincreaseinoilpriceswitha2-yearhalflifeincreasescoreinflationbyabout0.1percentagepointforafewquartersandreducesthenominalwagebyabout0.2percentonimpact.Consequently,theimpliedproducerrealwage–calculatedbyaccumulatingthenominalwagegrowthimpulsesandsubtractingtheaccumulatedcoreinflationimpulses–fallsbyroughly0.3percentoverthefirst2yearsandbynearly0.6percentafter5years.ThereductioninrealwagesisinlinewithanoilsupplyshocktransmittingsimilarlytoanadverseTFPshock,withrealGDPfallingbymorethat0.4percentafter2years.Cruciallyforourfurtheranalysis,theseresultssuggeststhattheabilityofUShouseholdsandlaborunionstoachievecompensationforhigherpricesthroughhigherwagesisverylimited.
TheimpactontheeuroareaisshowninFigure
2.
WhiletheoilpricepathisalmostidenticaltothatobtainedintheSVARfortheUS,thetransmissiontootherkeymacrovariablesdiffersnotably.Mostnotably,nominalwagegrowthpersistentlyincreases.ThisfindingispossiblydrivenbymorecentralizedwagebargainingandhigherunionizationintheeuroareathanintheUS,leadingtoahigherdegreeof(explicitorimplicit)indexation
(BabaandLee,
2022)
.IncreasingwagesputsomeupwardpressureoncoreinflationandsotheECBraisestheinterestratesignificantly.ThetighterpolicystanceimpliesthattheassociatedoutputcontractionisaboutthesameasintheUS,althoughtheeuroareaeconomyislessdependentonoil.Turningtotheimpliedrealproducerwage,thepointestimateofitsimpulseresponseismodestlypositive,butnotsignificantlyso.WeinterpretthisfindingasonlymildevidenceinfavorofsomeindexationmechanismsinEuropeanwagesettingthatcompensateshouseholdsforthelossofpurchasingpowerduetoenergypriceshocks.
7Theconfidencebandsarecomputedusingamovingblockbootstrap,asproposedby
JentschandLunsford
(2019).Thismethodproducesasymptoticallyvalidconfidencebandsunderfairlymildalpha-mixingcondi
-tions.Theblocksizeissetto24anddealswiththedifferenceintheestimationandidentificationsamples.
7
Figure1:USProxy-VAREvidence:OilPriceShocks
Notes:Allvariablesareexpressedinpercentdeviations,realoilpricesaredeflatedwithcoreCPI,impliedrealwageisdefinedasaccumulatednominalwageinflationminuscoreinflation.Theconfidencebandsarethe68and90percentlevelbandsbasedon10,000bootstrapreplications.
8
Figure2:EAProxy-VAREvidence:OilPriceShocks
Notes:Allvariablesareexpressedinpercentdeviations,realoilpricesaredeflatedwithcoreCPI,impliedrealwageisdefinedasaccumulatednominalwageinflationminuscoreinflation.Theconfidencebandsarethe68and90percentlevelbandsbasedon10,000bootstrapreplications.
AsshowninAppendix
A.3
,theimpactofanoilsupplyshockonheadlineinflationisnotablystrongeronimpactinboththeUSandtheeuroarea,upto1(0.5)percentinthe
9
samequarterbutmuchlesspersistent–consistentlywithoilpricesrevertingtotheirpre-shocklevels.Evenso,theimpliedconsumerrealwage,i.e.nominalwagedividedbyheadlineCPI,fallsnotablymoreinitiallythantheproducerrealwageinFigure
1
.Thesmallerpass-throughtoheadlineinflationrelativetocoreinflationintheeuroareathanintheUScanbeatleastpartiallyexplainedbyhigherexcisetaxesonliquidfuelsandadownstreamoil
industrythattendstohavemorerigidretailprices(Ahn,
2024).Importantlyforourfurther
analysis,regardlessifweworkwithcoreorheadlineinflationintheSVAR,wefindthattheimpliedrealwageintheeuroareafallslessthanintheUS.
WehaveexaminedtherobustnessofourresultsforanumberofalternativeSVARspec-ifications.Figure
3
presentstheimpulseresponsesfortheimpliedproducerrealwage(USintheleftcolumnandeuroareaintheright),whileAppendix
A.3
reportstheresultsforallvariablesincludedineachoftheconsideredalternatives.ThefirstrowinthefigurejustrestatesourbaselineresultsfromFigures
1
and
2.
Thesecondrowreportsanalternativewhereweimposemeanreversionoftherealwageimpulseresponsesbyintroducingthisvari-abledirectlyintheSVARinsteadofnominalwagegrowthandimposingstabilityconditions.Ascanbeseen,realproducerwagesintheUSstilldeclinesignificantlyinresponsetoanenergysupplyshockwhiletheyrisesomewhat(althoughnotsignificantlyatthe90percentconfidencelevel)inEurope.
Wealsotestedforpossiblenon-linearitiesintracingtheeffectsofoilpriceshoc
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