Due to their high visibility, petrol prices shape households' inflation expectations. This paper investigates the dynamic effects of petrol price shocks on one- and five-year inflation expectations in New Zealand; effects on headline and core inflation are also analyzed. Estimating partially identified structural vector autoregression models using Bayesian techniques, we show that petrol price shocks had a slightly delayed but persistent effect on one-year inflation expectations, whereas five-year inflation expectations were largely insensitive to these shocks. We also show that headline inflation increased immediately in response to petrol price shocks, while core inflation remained unaffected. Counterfactual analysis reveals that inflation and inflation expectations would have been higher in the absence of petrol price shocks during the second half of 2020. The results underscore the importance of petrol prices in influencing households' short-term inflation expectations, offering valuable insights for policymakers focused on managing the cost of living and inflation expectations in New Zealand.

中文翻译：

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汽油价格会影响通货膨胀和通货膨胀预期吗？来自新西兰的证据


由于汽油价格的知名度高，它们会影响家庭的通胀预期。本文研究了汽油价格冲击对新西兰一年和五年通胀预期的动态影响;还分析了对整体和核心通胀的影响。使用贝叶斯技术估计部分确定的结构向量自回归模型，我们表明汽油价格冲击对一年期通胀预期的影响略微延迟但持续，而五年期通胀预期在很大程度上对这些冲击不敏感。我们还显示，由于汽油价格冲击，整体通胀率立即上升，而核心通胀率则未受到影响。反事实分析显示，如果 2020 年下半年没有汽油价格冲击，通胀和通胀预期会更高。研究结果强调了汽油价格在影响家庭短期通胀预期方面的重要性，为专注于管理新西兰生活成本和通胀预期的政策制定者提供了宝贵的见解。