Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/322486 
Year of Publication: 
2025
Series/Report no.: 
CESifo Working Paper No. 11924
Publisher: 
CESifo GmbH, Munich
Abstract: 
This paper uses data on 5-year gasoline price expectations from the US Michigan Survey of Consumers to investigate their role as a transmission channel for gasoline price shocks. Specifically, a Structural VAR model is estimated to carry out counterfactual analysis which shows that gasoline price expectations act as a transmitter of gasoline price shocks to US inflation and real activity. Further, nonlinear local projections with high-frequency instrumental variable identification indicate that gasoline price expectations propagate gasoline price shocks to inflation even when headline inflation expectations appear to be anchored, although their effects are not persistent and the strength of the transmission depends to some extent on the chosen definition of anchoring.
Subjects: 
gasoline price expectations
inflation expectations
anchoring
transmission channel
counterfactual analysis
Structural VAR
nonlinear local projections
JEL: 
C32
E31
E52
Q43
Document Type: 
Working Paper
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