This paper examines the recent increase in natural gas prices, the sensitivity of inflation expectations, and the pass-through to inflation. Using a semi-structural vector autoregression, we identify a natural gas price shock in the euro area with a combination of sign and zero restrictions. We rely on market-based measures of inflation expectations. The results show that shocks to the real price of natural gas affect both inflation and inflation expectations. To investigate the relative importance of the pass-through of inflation expectations to inflation, we conduct a structural scenario analysis in which inflation expectations are insensitive to movements in the real price of natural gas. The results indicate the presence of strong second-round effects via expectations. Our analysis provides guidance for policymakers to better understand the potential trade-offs of different policy responses to natural gas price shocks, particularly with respect to the potential for a de-anchoring of inflation expectations.

中文翻译：

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天然气价格、通胀预期和欧元区通胀的传导


本文研究了近期天然气价格的上涨、通胀预期的敏感性以及对通胀的传导。使用半结构向量自回归，我们确定了欧元区的天然气价格冲击，并结合了符号和零限制。我们依赖基于市场的通胀预期衡量标准。结果表明，对天然气实际价格的冲击会影响通胀和通胀预期。为了研究通胀预期转嫁给通胀的相对重要性，我们进行了一项结构性情景分析，其中通胀预期对天然气实际价格的变动不敏感。结果表明，通过预期存在强大的第二轮效应。我们的分析为政策制定者提供了指导，以更好地了解不同政策应对天然气价格冲击的潜在权衡，特别是关于通胀预期脱锚的可能性。