Have Inflation Expectations Become Un-anchored? The Role of Oil Prices and Global Aggregate Demand^∗

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.