Journal article
Oil price dynamics and market-based inflation expectations
Energy economics, v 75, pp 484-491
01 Sep 2018
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
We examine the link between oil prices and market-based inflation expectations in the United States. Using a Gaussian affine term structure model, we decompose the breakeven inflation into three components: the market-based inflation expectations, the inflation risk premium and the liquidity risk premium. We show that oil prices have a nonlinear impact on the 5- and 10-year market-based inflation expectation components. Specifically, we find that the impact of oil price changes on inflation expectations is more intense when oil prices are above a threshold of 67 USD per barrel and is more pervasive for the intermediate term than for the longer term. Furthermore, we show that oil prices have a nonlinear impact on the inflation risk premium. These results have implications for the management of inflation expectations. (C) 2018 Elsevier B.V. All rights reserved.
Metrics
Details
- Title
- Oil price dynamics and market-based inflation expectations
- Creators
- Shawkat Hammoudeh - Drexel UniversityJuan C. Reboredo - University of Santiago de Compostela
- Publication Details
- Energy economics, v 75, pp 484-491
- Publisher
- Elsevier
- Number of pages
- 8
- Grant note
- Xunta de Galicia through the research project Consolidation e Estruturacion - 2016 GPC GI-2060 ECO2015-71251-R / Spanish Ministry of Economy and Competitiveness; Spanish Government European Regional Development Fund (ERDF/FEDER); European Commission
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000449891600037
- Scopus ID
- 2-s2.0-85054010558
- Other Identifier
- 991019167821304721
UN Sustainable Development Goals (SDGs)
This publication has contributed to the advancement of the following goals:
InCites Highlights
Data related to this publication, from InCites Benchmarking & Analytics tool:
- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Economics