The pass-through to inflation of gas price shocks
Journal: Documentos de trabajo/Documento de trabajo - Banco de España, Servicio de Estudios
Year: 2025

This paper uses a Bayesian Structural Vector Autoregressive (BSVAR) framework to estimate the pass-through of unexpected gas price supply shocks to HICP inflation in the euro area and its four largest economies. Compared with oil price shocks, gas price shocks have an approximately one-third smaller pass-through to headline inflation. Country-specific results indicate that gas price increases matter more for German, Spanish and Italian inflation than for French inflation, hinging on the reliance