Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/297345 
Year of Publication: 
2024
Series/Report no.: 
ECB Working Paper No. 2905
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
This paper develops a Bayesian VAR model to identify three structural shocks driving the European gas market: demand, supply and inventory shocks. We document how gas price fluctuations have a heterogeneous pass-through to euro area prices depending on the underlying shock driving them. The pass-through is stronger and more persistent when gas prices are driven by aggregate demand or supply pressures, while inventory shocks have a weaker impact. Supply shocks, moreover, are found to pass through to all components of euro area inflation - producer prices, wages and core inflation, which has implications for monetary policy. We finally document how the response of gas prices to shocks is non-linear and is significantly magnified in periods of low unemployment.
Subjects: 
Gas Price
Pass-through
Price
Euro Area
JEL: 
C50
C54
E30
E31
Q43
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-6385-5
Document Type: 
Working Paper

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