This study examines the effects of three types of oil price shocks on inflation in the G7 countries with a new method of isolating oil price shocks. Based on monthly data from January 1997 to January 2019, we find that each oil price shock has the largest effect on U.S. inflation among the G7 countries and each country’s response to oil price shocks is different. Moreover, a rolling-window analysis shows that supply shocks, demand shocks and risk shocks have dynamic effects on inflation. The effect of supply shocks on inflation is strong before the financial crisis, but weakens during the crisis. However, the effect of demand shocks increases sharply in this time. The effect of risk shocks mainly occurs during the financial crisis and the European debt crisis. In addition, this study uses two ways to verify the robustness of the results. Our empirical results have important implications for policymakers and manufacturers, since the results provide a good explanation for the response of inflation in the G7 countries to the oil price shocks from different sources.

中文翻译：

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油价冲击对七国集团国家通胀的影响


本研究采用一种隔离油价冲击的新方法，探讨了七国集团国家三种类型的油价冲击对通胀的影响。基于1997年1月至2019年1月的月度数据，我们发现G7国家中每次油价冲击对美国通胀的影响最大，且各国对油价冲击的反应不同。此外，滚动窗口分析表明，供给冲击、需求冲击和风险冲击对通胀具有动态影响。供给冲击对通胀的影响在金融危机前很强，但在危机期间减弱。然而，此时需求冲击的影响急剧增加。风险冲击的影响主要出现在金融危机和欧债危机期间。此外，本研究使用两种方法来验证结果的稳健性。我们的实证结果对政策制定者和制造商具有重要意义，因为这些结果为七国集团国家的通胀对不同来源的石油价格冲击的反应提供了很好的解释。