本論文旨在討論石油價格對美國通貨膨脹之影響及瞭解油價對通貨膨脹之傳遞管道。依通貨膨脹為經濟中連續及持續的一般物價百分比變化之定義，為取得符合定義之通貨膨脹，本論文使用HP濾波法，將短期波動之物價變化刪除，以並進一步使用評估透過兩個不同管道：貨幣數量成長及貨幣流動速度成長之變化。

本論文研究油價對於通貨膨脹之影響，其調查期間自1987年1月至2017年12月，共有691筆月資料及121筆季資料。實證方法採雙變數及多變數向量向我回歸(VARs)，並分別假設油價為內生變數及外生變數，以及比較其使用指數平滑法與否的差異。本研究之雙變數VAR透過比較不同之CPI子項目，以瞭解油價對CPI於不同時期、項目之影響。另外，本論文以多變數VAR評估油價對美國通貨膨脹之傳遞效果。當油價假設為內生、外生變數之主要差異為當油價為外生變數時，美國聯準會採用通貨膨脹目標機制(inflation targeting)，減少貨幣供給以避免通貨膨脹發展；而當油價為內生變數時，則發現Fed因擔心經濟衰退，故增加貨幣供給。

This dissertation aims to understand the relationship between oil price and inflation in US and examines how the oil price transits the effect on the inflation rate in US. According to the definition "Inflation is the continuous and sustained percentage change in the general level of prices in the economy", this dissertation uses Hodrick-Prescott (H-P) filter to split the series into trend and cycle to omit the price level rising by jumps. Then, we use two main separate channels to evualuate the money growth and the growh in velocity.

This research investigates the effects of oil price on inflation over the period from 1987 January to 2017 December, which consists of 691 monthly observations and 121 quarterly data. The empirical work uses both bivariate and multivariate VARs. The analyses can be split into filtered and unfiltered data, as well as exogenous and endogenous assumptions on oil prices. The bivariate VAR is applied to compare different periods and the different CPI sub-indexes to understand the effect on different CPI sub-indexes in separate times. Additionally, the multivariate VAR is implemented to measure the impact of oil price on general US price inflation, and it expands the growth or decline in the real demand for money relative to the growth of money itself. 

A major difference is found between assuming endogeneity and exogeneity for oil prices. If oil is exogenous, then the channel 1 seems to favor an expectations-based explanation which means the Fed sees possible higher inflation in the future and restricts monetary growth relative to output growth. There is inflation targeting. Growth in velocity tends to inversely mirror this with a positive growth in velocity as the result. 

If oil is endogenous, we find a surprising reversal. Channel 1 with money growth minus output growth becomes positively related to oil price increases. This is consistent with a Fed that is fighting recession. Higher oil prices cause reductions in growth and in response money is expanded to mitigate the recession.

Table of Contents	IV
List of Figures	V

Chapter 1 Introduction	1
1.1 US Economy and Global Oil Price	1
1.2	US Economy and Inflation	8
1.3 Research Motivation	12
1.4 Research Framework and Research Limitations	13
Chapter 2 Literature Review	18
2.1 Oil Shocks Impact	18
2.2 Transmission Channels	18
2.3 The Effect of Oil Shocks on Inflation	21
Chapter 3 Theories on How Oil Price Inflation Impacts General Price Inflation	29
3.1 Jumps vs. Changed Slopes in the Price Level	29
3.2 Transformations to Achieve an Appropriate Inflation Measure	40
3.3 Cost-Push Inflation and the Wage-Price Spiral 46
3.4 The Quantity Theory of Money as a Transmission Mechanism	58
3.5 Subchannels Transmission of Oil Inflation on General Inflation	67
3.6 Summary of Theories on How Oil Price Inflation Impacts General Price Inflation	71
Chapter 4 Empirical Analysis and Findings	74
4.1 Data Description	74
4.2 Empirical Model and Method	77
4.3 Engle–Granger Tests	78
4.4 Empirical Results-Bivariate VARs Growth in Oil Price and Price Levels	79
4.5 Multivariate VAR Modeling	105
4.6 Summary of Bivariate and Multivariate Analysis 125
Chapter 5 Conclusion	129
Reference	134
Appendix	142

List of Figures
Figure 1.1.1 Nominal Crude Oil Prices: West Texas Intermediate (1960 – 2018)	3
Figure 1.1.2 World and US Oil Production from 1970 to 2017	6
Figure 1.2.1 Inflation in US (1960 - 2017)	11
Figure 1.3.1 The Percentage Change in Oil Price and the US CPI	12
Figure 1.4.2 Research Framework	17
Figure 2.1.1 Oil Transmission Channels	19
Figure 2.3.1 The Effect of Oil Price Shocks on Inflation	22
Figure 3.1.1 Zero Inflation or No Change in P = General Price Level	32
Figure 3.1.2 No Inflation with a Jump in the Price Level	34
Figure 3.1.3 Questionable “No Inflation Environment”	35
Figure 3.1.4 Constant Positive Inflation Environment	36
Figure 3.1.5 Positive but Falling Inflation Environment	37
Figure 3.2.1 Natural Logarithm of the US Consumer Price Index,All Items (1982-1984)	41
Figure 3.2.2 Unfiltered US CPI Inflation (MoM)	42
Figure 3.2.3 SACF and SPACF for US CPI 1947:01 – 2017:12	44
Figure 3.2.4 Comparison of B-N filter of Δln(CPI) with Actual Data	45
Figure 3.2.5 Comparison of H-P filter of Δln(CPI) with Actual Data	45
Figure 3.3.1 Unsustainable and Diminishing Cost-Push Inflation	50
Figure 3.3.2 Union Power and a Limited Wage-Price Spiral	51
Figure 3.3.3 AS-AD and an Unsustainable Wage-Price Spiral	52
Figure 3.4.1 Calculated Nominal Before-Tax Return on Wealth: rW	63
Figure 3.4.2 The Fraction of Transferrable Wealth Held as Money:  	65
Figure 3.4.3 The Share of Income Going to Wealth Holders:  SW	66
Figure 3.5.1 Flowchart of Channels to Inflation 	68
Figure 4.4.1 Impulse Response for the VAR- CPI-All and WTI(Filtered Data)	83
Figure 4.4.2 Impulse Response for the VAR- CPI-All & WTI (Unfiltered Data)	85
Figure 4.4.3 Impulse Response for the VAR- CPI-Durable & WTI (Filtered Data)	87
Figure 4.4.4 Impulse Response for the VAR- CPI-Durable & WTI (Unfiltered Data)	89
Figure 4.4.5 Impulse Response for the VAR- CPI-Durable & WTI (Filtered Data) (1987-2008)	91
Figure 4.4.6 Impulse Response for the VAR- CPI-Durable & WTI (Filtered Data) (2009-2017)	93
Figure 4.4.7 Impulse Response for the VAR- CPI- Consumer Electricity Price & WTI (Filerted Data)	95
Figure 4.4.8 Impulse Response for the VAR- CPI- Energy & WTI (Filtered Data)	97
Figure 4.4.9 Impulse Response for the VAR- CPI- Food & WTI (Filtered Data)	99
Figure 4.4.10 Impulse Response for the VAR- CPI- Fuel Oil & WTI (Filtered Data)	101
Figure 4.4.11 Impulse Response for the VAR- CPI- Fuel Oil & WTI (Unfiltered Data)	103
Figure 4.4.12 Impulse Response for the VAR- CPI- Fuel and Utility & WTI (Filtered Data)	105
Figure 4.5.1 The Relation between θ and V	118

 
List of Tables
Table 2.3.1 Relationship between Oil Price Shocks and Inflation-Cross Countries Studies	25
Table 2.3.2 Relationship between Oil Price Shocks and Inflation-Single Country Studies	27
Table 3.5.1 Percent Impact of Transmission Channels	69
Table 4.1.1 Summary Statistics (for Monthly Data)	76
Table 4.1.2 Summary Statistics (for Quarterly Data)	76
Table 4.1.3 ADF Unit Root and Engle-Granger Cointegration Tests	78
Table 4. 4. 1 Bivariate Granger Causality Tests –CPI-ALL & WTI (Filtered Data)	82
Table 4.4.2 Bivariate Granger Causality Tests –CPI-ALL & WTI (Unfiltered Data)	84
Table 4.4.3 Bivariate Granger Causality Tests –CPI-Durable& WTI (Filtered Data)	86
Table 4.4.4 Bivariate Granger Causality Tests –CPI-Durable& WTI (Unfiltered Data)	88
Table 4.4.5 Bivariate Granger Causality Tests –CPI-Durable& WTI (Filtered Data) (1987-2008)	90
Table 4.4.6 Bivariate Granger Causality Tests –CPI-Durable& WTI (Filtered Data) (2009-2017)	92
Table 4.4.7 Bivariate Granger Causality Tests –CPI-Consumer Electricity Price& WTI (Filtered Data)	94
Table 4. 4. 8 Bivariate Granger Causality Tests –CPI-Energy & WTI (Filtered Data)	96
Table 4.4.9 Bivariate Granger Causality Tests –CPI-Food& WTI (Filtered Data)	98
Table 4.4.10 Bivariate Granger Causality Tests –CPI-Fuel Oil and Other Fuel & WTI (Filtered Data)	100
Table 4.4.11 Bivariate Granger Causality Tests –CPI-Fuel Oil and Other Fuel & WTI (Unfiltered Data)	102
Table 4.4.12 Bivariate Granger Causality Tests –CPI-Fuel and Utility & WTI (Filtered Data)	104
Table 4. 5. 1 Growth of WTI Price as Exogenous to VAR (Filtered)	111
Table 4. 5. 2 Growth of WTI Price as Exogenous to VAR (Unfiltered)	114
Table 4.5.3 Growth of WTI Price as Exogenous to full VAR (Filtered)	115
Table 4. 5. 4 Growth of WTI Price as Exogenous to full VAR (Unfiltered)	117
Table 4.5.5 Growth of WTI Price as Endogenous to VAR (Filtered)	120
Table 4. 5. 6 Growth of WTI Price as Endogenous to VAR (Unfiltered)	121
Table 4. 5. 7 Growth of WTI Price as Endogenous to full VAR (Filtered)	124
Table 4. 5. 8  Growth of WTI Price as Endogenous to full VAR (Unfiltered)	124

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