Series: Working Papers. 2622.
Author: Andrea De Polis, Álvaro Fernández-Gallardo and José Nicolás Rosas
Quantitative methods
- Monetary policy
- Estados Unidos
- European Union
Full document
Abstract
We analyze the asymmetric transmission of oil supply news shocks to the inflation distribution in the United States, the euro area, and the United Kingdom. Using quantile local projections and high-frequency identification, we document a stark asymmetry across these three large advanced economies: while median responses are transitory, the 90th quantile exhibits significant and persistent increases beyond one year. This upside tail sensitivity, consistent with state-dependent pricing, suggests that supply shocks are structural innovations to the skewness of the inflation distribution. Monetary policy should actively monitor such persistent inflation tail risks to keep expectations anchored.