Abstract
Beginning with the global financial crisis (2008), the corre-lation between crude oil prices and medium-term and forward inflation expectations increased, leading to fears of their un-anchoring. Using the first principal component of commodity prices as a measure for global aggregate demand, we decom-pose nominal oil prices to a global demand factor and an idiosyncratic factor. In a Phillips-curve framework, we find a structural change after the collapse of Lehman Brothers when inflation expectations reacted more strongly to global aggregate demand conditions. Within this framework, we find no evidence that expectations became un-anchored.
Original language | English |
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Pages (from-to) | 149-192 |
Number of pages | 44 |
Journal | International Journal of Central Banking |
Volume | 18 |
Issue number | 2 |
State | Published - Jun 2022 |
Externally published | Yes |
Bibliographical note
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