Dopady ropných šoků na vývoj inflace v zemích G7

Abstract

This bachelor’s thesis examines the impact of oil shocks on the development of inflation in the G7 countries during the period from January 1990 to January 2025. The main objective is to assess how oil shocks influence inflation both in the short and long term. A secondary objective is to identify potential differences in the effects of these shocks between countries that are predominantly oil importers (France, Italy, Japan, Germany, and the United Kingdom) and countries that are net exporters (Canada and the United States). The thesis is divided into three main parts. The theoretical section defines key concepts such as oil shock, inflation, transmission mechanisms, and the role of central banks in responding to such shocks. This is followed by a review of empirical literature, which highlights the findings of previous studies on the effects of oil price fluctuations on the economy and financial markets. The practical section applies an econometric method—namely the Vector Autoregressive (VAR) model—to analyze monthly percentage changes in macroeconomic time series. The model traces the responses of selected economic indicators—including the Consumer Price Index (CPI), Producer Price Index (PPI), Industrial Production Index (IPI), unemployment rate (u), short-term interest rates (stir), and stock market indices—to exogenous oil price shocks. To capture the dynamic impact of these shocks, the Impulse Response Function (IRF) is used to evaluate the evolution of each variable's response over several months following a shock. The main finding of this thesis is that the effects of oil shocks are indeed asymmetric. In the short term, oil-importing countries tend to experience demand-driven effects, while in the long term, the nature of these effects shifts to supply-driven. In contrast, oil-exporting countries exhibit demand-side effects in both the short and long run. The results align with earlier findings by Baumeister et al. (2009) and Wen et al. (2021), thereby strengthening the robustness of those conclusions. The thesis contributes to the broader understanding of how oil price volatility affects inflation dynamics. It does so by combining theoretical insights with advanced quantitative techniques. The findings can serve as a useful basis for monetary policy design and energy strategy formulation, especially in a period of heightened geopolitical uncertainty and ongoing transition toward a low-carbon economy.