THE IMPACT OF OIL PRICE CHANGES
ON SPANISH AND EURO AREA
CONSUMER PRICE INFLATION
Luis J. Álvarez, Samuel Hurtado,
Isabel Sánchez and Carlos Thomas
Documentos Ocasionales
N.º 0904
2009
THE IMPACT OF OIL PRICE CHANGES ON SPANISH AND EURO AREA
CONSUMER PRICE INFLATION
THE IMPACT OF OIL PRICE CHANGES ON SPANISH AND
EURO AREA CONSUMER PRICE INFLATION(*)
Luis J. Álvarez (**), Samuel Hurtado, Isabel Sánchez
and Carlos Thomas
BANCO DE ESPAÑA
(*) We are grateful to participants at a Workshop of Eurosystem and Latin American Central Banks and at a Banco
de España seminar, particularly Ángel Estrada, José Manuel González, Mario Izquierdo, Eva Ortega and Juan
Peñalosa for helpful comments and suggestions.
(**) Corresponding author: [email protected].
Documentos Ocasionales. N.º 0904
2009
The Occasional Paper Series seeks to disseminate work conducted at the Banco de España, in the
performance of its functions, that may be of general interest.
The opinions and analyses in the Occasional Paper Series are the responsibility of the authors and,
therefore, do not necessarily coincide with those of the Banco de España or the Eurosystem.
The Banco de España disseminates its main reports and most of its publications via the INTERNET
at the following website: http://www.bde.es.
Reproduction for educational and non-commercial purposes is permitted provided that the source is
acknowledged.
© BANCO DE ESPAÑA, Madrid, 2009
ISSN: 1696-2222 (print)
ISSN: 1696-2230 (on line)
Depósito legal: M. 42145-2009
Unidad de Publicaciones, Banco de España
Abstract
This paper assesses the impact of oil price changes on Spanish and euro area consumer
price inflation. We find, consistently with recent international evidence, that the inflationary
effect of oil price changes is limited, even though crude oil price fluctuations are a major
driver of inflation variability. The impact on Spanish inflation is found to be somewhat higher
than in the euro area. Direct effects are increasing over time, reflecting the higher spending
of households on refined oil products, whereas indirect ones, defined in broad terms, are
losing importance.
Keywords: oil prices, consumer price inflation, Spanish and Euro area inflation, DSGE
models.
JEL classification: E20, E31, E37.
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<:HE8 CONSUMER PRICE INFLATION. CONTRIBUTION OF ENERGY
SPAIN
EMU
ENERGY (pp)
ENERGY (pp)
NON-ENERGY (pp)
NON-ENERGY (pp)
INFLATION (%) (HICP)
INFLATION (%) (HICP)
5
5
4
4
3
3
2
2
1
1
0
0
-1
-1
1996
1998
2000
2002
2004
2006
2008
1996
1998
2000
2002
2004
2006
2008
Sources: INE, Eurostat and Banco de España.
,45?8 CONTRIBUTIONS TO INFLATION
Spain
EMU
Germany
France
Italy
ENERGY
Average 1996-2008
0.4
0.4
0.5
0.3
0.3
Maximum year
Minimum year
1.2
-0.3
1.1
-0.2
1.2
-0.3
1.0
-0.2
0.9
-0.2
OIL REFINED PRODUCTS (a)
Average 1996-2008
0.3
Maximum year
0.9
Minimum year
-0.1
0.2
0.7
-0.2
0.2
0.8
-0.2
0.2
0.8
-0.3
0.1
0.5
-0.1
Sources: Eurostat and Banco de España
(a) Liquid fuels and fuels and lubricants for personal transport equipment.
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6BHAGE<8F G 4AL E4G8 <G ;4F GB 58 FGE8FF87 G;4G ;BHF8;B?7 FC8A7<A: BA E8NA87 B<? CEB7H6GF ;4F
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,45?8 HICP WEIGHTS
EMU
Germany
France
Italy
REFINED OIL PRODUCTS (a)
(1) 1996
4.8
(2) 2008
6.2
(3)= (2)-(1)
1.4
Spain
4.6
5.5
0.9
4.8
5.6
0.8
5.3
5.2
-0.1
3.4
4.9
1.4
ENERGY
(1) 1996
(2) 2008
(3)= (2)-(1)
9.1
9.8
0.8
10.3
11.9
1.6
9.3
8.7
-0.6
6.8
8.2
1.4
7.5
9.9
2.3
Source: Eurostat.
(a) Liquid fuels and fuels and lubricants for personal transport equipment.
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,45?8 CONTRIBUTIONS TO INFLATION VARIABILITY
Spain
Overall
EMU
100.0
100.0
Energy
51.3
44.7
Non-energy
48.7
55.3
Sources: Eurostat and Banco de España.
Germany
France
Italy
100.0
40.2
59.8
100.0
38.0
62.0
100.0
29.3
70.7
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!( E8?4G<I8 GB G;8 8HEB 4E84 5HG 4?FB G;8 7<U8E8AG <A7<E86G G4K4G<BA G45?8
!A +C4<A 8K6<F8 7HG<8F BA GE4AFCBEG 9H8?F SJ;<6; 4E8 ?H@C FH@ 4E8 ?BJ8E G;4A <A BG;8E H
EBC84A 6BHAGE<8F 4A7 G;8 F4@8 ;4CC8AF J<G; I4?H8 47787 G4K J;<6; <F CEBCBEG<BA4? GB G;8 NA4?
CE<68 !A <A7<E86G G4K8F <A +C4<A 466BHAG87 9BE B9 G;8 E8G4<? CE<68 B9 C8GEB? 4A7 B9 G;8 NA4? CE<68 B9 7<8F8? B<? !A 6BAGE4FG <A G;8 - 8K6?H7<A: +C4<A G;8F8 F;4E8F J8E8 4EBHA7
CC ;<:;8E +C86<N64??L 4A7 E8FC86G<I8?L ,;<F 7<U8E8AG<4? G4K4G<BA <@C?<8F G;4G
9BE 4 :<I8A 6;4A:8 <A G;8 CE<68 B9 B<? <A <AG8EA4G<BA4? @4E>8GF E8G4<? CE<68F <A +C4<A 6;4A:8 GB 4
;<:;8E 8KG8AG G;4A <A G;8 8HEB 4E84 G;HF 6BAGE<5HG<A: GB G;8 ;<:;8E I4E<45<?<GL B9 G;8F8 CE<68F
,45?8 RETAIL PRICES AND TAXES
Spain
EU 14 (a)
Germany
France
Italy
100.0
52.6
47.4
100.0
63.1
36.9
100.0
65.0
35.0
100.0
63.7
36.3
100.0
60.1
39.9
100.0
45.9
54.1
100.0
55.7
44.3
100.0
56.5
43.5
100.0
55.4
44.6
100.0
52.8
47.2
PETROL
Retail price
Taxes
Price without taxes
DIESEL OIL
Retail price
Taxes
Price without taxes
Source: European Commission.
(a) EU14: EU15 excluding Spain.
,;8 7<E86G <@C46G <F 4?FB 4U86G87 5L G;8 C4FF G;EBH:; B9 G;8 CE<68 B9 B<? <A <AG8EA4G<BA4? @4E>8GF
GB NA4? 6BAFH@8E CE<68F 4 CEB68FF J;<6; <F ;<:;?L 6B@C?8K ,;8E8 4E8 7<U8E8AG GLC8F B9 6EH78
B<? J<G; 7<U8E8AG (! :E4I<G<8F 4 @84FHE8 B9 78AF<GL 4A7 FH?C;HE 6BAG8AG 4A7 6BEE8FCBA7<A:?L
7<U8E8AG CE<68F '<? E8NA8E<8F =B<AG?L CEB7H68 G;8 7<U8E8AG 7<FG<??4G8F J;<6; 64A 58 :EBHC87 4F ?<:;G
7<FG<??4G8F 8: $( C8GEB? A4C;G;4 @<77?8 7<FG<??4G8F 8: >8EBF8A8 7<8F8? ;84IL 7<FG<??4G8F
4A7 E8F<7HH@ 8: 9H8? B<? G4E ,;8 =B<AG CEB7H6G<BA A4GHE8 B9 G;8 G86;AB?B:<64? CEB68FF <@C?<8F
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<@C?L 7<U8E8AG 7<FG<??4G8 @<K8F <A4??L CEBNG @4E:<AF B9 J;B?8F4?8 4A7 E8G4<? GE478 OH6GH4G8 BI8E
G<@8 9BE <AFG4A68 <A E8FCBAF8 GB @4E>8G 6B@C8G<G<BA
BANCO DE ESPAÑA
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DOCUMENTO OCASIONAL N.º 0904
<:HE8 DIRECT IMPACT OF A 10% INCREASE IN THE OIL PRICE (1)
6
4.95
5
5.22
4
3
2.93
2.77
2.69
2.25
2.00
2
1.77
1
0.21
0.20
0.17
0
SPAIN
EMU
SPAIN EMU
TRANSPORT
FUELS
SPAIN SPAIN SPAIN
(2)
HEATING OIL
GAS
EMU
SPAIN SPAIN
(2)
ENERGY
EMU
HICP
(1) Total effect after 2 months, except for gas.
(2) Traditional macro model (MTBE).
,<@8 F8E<8F G86;A<DH8F 64A 58 HF87 GB 4CCEBK<@4G8 G;<F 6B@C?8K CEB68FF GLC<64??L HA78E G;8
4FFH@CG<BA B9 4 6BAFG4AG 8?4FG<6<GL B9 846; E8NA87 B<? CEB7H6G J<G; E8FC86G GB G;8 CE<68 B9 4 E898E8A68
6EH78 &BEG; +84 E8AG 6EH78 <A 8FG<@4G8F 9BE HEBC84A 6BHAGE<8F ,<@8 F8E<8F @B78?F 8FG<@4G87 5L
CEB7H6G 64G8:BEL F;BJ G;4G G;8E8 <F FH5FG4AG<4? ;8G8EB:8A8<GL 5L CEB7H6G GLC8 G45?8 4A7 N:HE8
?4FG<6<G<8F 4E8 ;<:;8FG 9BE GE4AFCBEG 9H8?F 4A7 ;84G<A: B<? J;8E8 G;8E8 <F 4 6BAG8@CBE4A8BHF
4A7 4 BA8 @BAG; ?4::87 <@C46G 4A7 4E8 DH<G8 6?BF8 <A +C4<A 4A7 G;8 8HEB 4E84 &4GHE4? :4F 4A7
5HG4A8 :4F CE<68F 4E8 E8:H?4G87 !A +C4<A G;8<E CE<68F 4E8 F8G 466BE7<A: GB CH5?<F;87 9BE@H?48
J;<6; <@C?L G;4G BA?L ?4::87 8U86GF 4E8 B5F8EI87 ,;8 8FG<@4G87 GBG4? 8?4FG<6<GL <F ?86GE<6<GL
CE<68F 4E8 4?FB E8:H?4G87 5HG G;8L A887 ABG 58 6?BF8?L ?<A>87 GB :8A8E4G<BA 6BFGF <A J;<6; C8GEB?8H@
C?4LF 4 6BAF<78E45?8 ?8FF E8?8I4AG EB?8 G;4A 9BE BG;8E 8A8E:L CEB7H6GF ,;8F8 946GBEF 8KC?4<A G;4G
AB F<:A<N64AG <@C46G B9 B<? CE<68F <F 9BHA7 <A G<@8 F8E<8F E8:E8FF<BAF 8KC?4<A<A: 8?86GE<6<GL CE<68F
::E8:4G<BA B9 G;8F8 E8FH?GF F;BJF 4 ;<:;8E <@C46G <A +C4<A E8O86G<A: G;8 ;<:;8E J8<:;G B9
B<? E8NA87 CEB7H6GF <A G;8 6BAFH@CG<BA 54F>8G <A6E84F8 <A G;8 CE<68 B9 &BEG; +84 E8AG
<A6E84F8F G;8
!( 8A8E:L 6B@CBA8AG <A +C4<A 5L CC 4A7 5L CC <A %-
,45?8 ,<@8 F8E<8F @B78?F 8FG<@4G87 5L CEB7H6G 64G8:BEL
Spain
' HICP transport fuels t
0.16 ' Pcrude t 0.13 ' Pcrude t 1
(10.8 )
( 9.2 )
Residual standard error= 1.43% R²= 0.67
' HICP heating oil t
0.23 ' Pcrude t 0.27 ' Pcrude t 1
( 8. 0 )
( 9. 2 )
Residual standard error= 2.81% R²= 0.59
'P Bu tan e gas t
0.37 ( mm 3 ( Pcrude t )) t 2 /( mm 3 ( Pcrude t )) t 5
( 8.8 )
Residual standard error= 1.88% R²= 0.52
'P Natural gas t
BANCO DE ESPAÑA
14
0.20( mm 6 ( Pcrude t$ ) / mm 3 ( Ert )) t 1 /( mm 6 ( Pcrude t$ ) / mm 3 ( Ert )) t 4
DOCUMENTO OCASIONAL N.º 0904
( 7.7 )
Residual standard error= 1.16% R²= 0.45
EMU
'HICP transport fuels t
0.16 'Pcrude t 0.12 'Pcrude t 1
(10.7 )
( 8.3 )
Residual standard error= 1.42% R²= 0.64
'HICP heating oil t
0.36 'Pcrude t 0.16 'Pcrude t -1
(10.9 )
( 5. 0 )
Residual standard error= 3.17% R²= 0.58
Definition of variables:
Pcrude: Price of crude oil (North Sea Brent) in euros
Er: euro dollar exchange rate
Pcrude$t : Price of crude oil in dollars
mm i : moving aerage of order i
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8AG E8NA87 B<? CEB7H6GF 8FG<@4G87 8?4FG<6<G<8F J;<6; 4E8 6BAF<78E45?L ?BJ8E G;4A 4E8 HF89H? GB
64?<5E4G8 G;8 <A<G<4? <@C46G B9 B<? CE<68 6;4A:8F <A 6BAFH@8E CE<68F J;8A 6BA7H6G<A: F<@H?4G<BA
8K8E6<F8F J<G; FH6; @B78?F 4F <A F86G<BA $ (* 1*) %$ %$)+#( &( )
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7<U8E8AG 4CCEB46;8F @BA: G;8 7<U8E8AG ABA8A8E:L :BB7F 4A7 F8EI<68F <A6?H787 <A G;8 (!
54F>8G B<? 4A7 B<? E8NA87 CEB7H6GF 4E8 C4EG<6H?4E?L E8?8I4AG <A G;8 CEB7H6G<BA CEB68FF B9 FB@8
F8EI<68F FH6; 4F GE4AFCBEG F8EI<68F !A +C4<A CE<68F B9 5HF HA78E:EBHA7 4A7 G4K<F 4E8 F8G 5L
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?<A> 58GJ88A G;8 6BFG B9 CEBI<7<A: G;8F8 F8EI<68F 4A7 G;8<E E8G4<? CE<68F !A 6BAGE4FG 4<E 94E8F 4A7
E4<?J4L CE<68F 4E8 @4E>8G 78G8E@<A87 4A7 G;8<E CE<68F 4E8 4U86G87 5L 78I8?BC@8AGF <A <AG8EA4G<BA4?
B<? @4E>8GF !A7<E86G?L 4<E 94E8F 4E8 C4FF87 G;EBH:; GB CE<68F B9 GE4I8? C46>4:8F G 4AL E4G8 G;8
J8<:;G B9 4<E 4A7 E4<? GE4AFCBEG <A G;8
!( <F BA?L FB <GF <@C46G BA ;847?<A8
!( <F DH<G8
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B9 G;8 (! 4A7
!( ,;8 CE<68 B9 B<? 4F 4A 8KC?4A4GBEL I4E<45?8 <A F;BEGEHA GE4AF98E 9HA6G<BA
@B78?F 4F <A V?I4E8M 4A7 HEE<8? 9BE ABA8A8E:L :BB7F 4A7 F8EI<68F CE<68F HACEB68FF87 4A7
CEB68FF87 9BB7 CE<68F ABA8A8E:L <A7HFGE<4? :BB7F 4A7 F8EI<68F CE<68F <F ABG 9BHA7 GB 58 F<:A<N64AG
HEG;8E 4F F;BJA <A F86G<BA <A G;8 DH4EG8E?L @46EB86BAB@<6 @B78? G;8E8 <F AB 7<E86G <@C46G
B9 B<? BA ABA8A8E:L 6BAFH@8E CE<68 <AO4G<BA ,;<F <F <A ?<A8 J<G;
BB>8E 8FG<@4G8F 9BE -+
6BE8 <AO4G<BA BE 9BE BG;8E HEBC84A 6BHAGE<8F 8: "BA784H 8G 4? 9BE E4A68
,;8 ?46> B9 F<:A<N64AG 8U86GF 5EB47?L 4:E88F J<G; G;8 E8FH?GF B9 G;8 FHEI8L BA CE<68 F8GG<A:
58;4I<BHE 64EE<87 BHG 5L G;8 4A6B 78 FC4\4 BA 4 F4@C?8 B9 <A7HFGE<4? 4A7 F8EI<68F NE@F
2V?I4E8M 4A7
BANCO DE ESPAÑA
15
8EA4A7B 3 'A8 B9 G;8 <FFH8F 477E8FF87 <A G;8 FHEI8L DH8FG<BAA4<E8 E898EE87
DOCUMENTO OCASIONAL N.º 0904
GB G;8 @4<A 946GBEF 7E<I<A: CE<68 6;4A:8F <E@F J8E8 4F>87 GB 4FF8FF G;8 <@CBEG4A68 B9 F8I8E4?
946GBEF <A6?H7<A: 8A8E:L 6BFGF G;4G 6BH?7 ?847 NE@F GB <A6E84F8 BE 786E84F8 CE<68F
,45?8 Driving factors of price increases and decreases
Mean scores (1)
p-value (2)
% Relevant
factor (3)
A change in the cost of raw materials
3.12
0.00
72.6%
A change in labour costs
2.72
0.00
56.8%
A change in competitors’ prices
2.54
0.00
52.1%
A change in demand
2.36
0.00
43.5%
A change in energy and fuel prices
2.20
0.00
35.3%
A change in other production costs
2.10
0.89
32.0%
An improvement in design, quality or the product range
2.09
0.00
34.0%
A change in productivity
1.91
0.00
27.3%
A change in financial costs
1.77
--
19.4%
Mean scores (1)
p-value (2)
% Relevant
factor (3)
A change in competitors’ prices
2.66
0.08
57.2%
A change in the cost of raw materials
2.54
0.00
51.7%
A change in demand
2.43
0.00
48.1%
The intention of gaining market share
2.20
0.00
40.1%
A change in labour costs
1.96
0.00
29.3%
A change in productivity
1.85
0.01
25.9%
A change in energy and fuel prices
1.83
1.00
23.1%
A change in other production costs
1.83
0.00
23.5%
A change in financial costs
1.55
--
13.4%
Price increases
Price decreases
(1) Respondents are asked in question C1 to indicate the importance of each factor, the alternative scores being: (1)
unimportant, (2) of minor importance,(3) important, (4) very important.
(2) The p-value in columns 2 refers to the null hypothesis that the factor's mean scores (reported in colum 1) is
(3) % important denotes the fraction of firms rating the factor as important or very important.
,45?8 CE8F8AGF G;8 E4A><A: B9 7E<I<A: 946GBEF 58;<A7 CE<68 6;4A:8F HF<A: @84A F6BE8F <A 4
F64?8 9EB@ HA<@CBEG4AG GB I8EL <@CBEG4AG 4A7 B9 G;8 F;4E8 B9 NE@F G;4G FG4G8 G;4G 4 :<I8A
946GBE <F <@CBEG4AG BE I8EL <@CBEG4AG BG; @84FHE8F F;BJ G;4G 8A8E:L 6BFGF 4E8 ABG 6BAF<78E87 5L
NE@ @4A4:8EF GB 58 4 @4=BE 7E<I8E B9 CE<68 6;4A:8F !A 946G BA?L B9 NE@F FG4G8 G;4G 8A8E:L
6BFGF 4E8 <@CBEG4AG BE I8EL <@CBEG4AG GB 8KC?4<A CE<68 <A6E84F8F ,;<F E84FBA <F 8I8A ?8FF <@CBEG4AG
9BE 78G8E@<A<A: CE<68 6HGF F<A68 BA?L B9 NE@F E8CBEG G;4G 8A8E:L 6BFGF 4E8 4 E8?8I4AG 946GBE <A
8KC?4<A<A: CE<68 786E84F8F ,;8 @<ABE EB?8 B9 8A8E:L 6BFGF <F 4?FB 4CC4E8AG <A G8E@F B9 G;8 E4A><A:
B9 CBFF<5?8 8KC?4A4G<BAF ,;<F E84FBA <F E4A>87 9BHEG; BHG B9 8KC?4A4GBEL 946GBEF <A G8E@F B9 CE<68
<A6E84F8F 4A7 N9G; <A G8E@F B9 CE<68 786E84F8F BFG B9 BG;8E @4G8E<4? <ACHGF 4A7 ?45BHE 6BFGF 4E8
G;8 @4<A 78G8E@<A4AGF B9 CE<68 <A6E84F8F L 6BAGE4FG G;8 @BFG E8?8I4AG 946GBEF ?847<A: GB CE<68
786E84F8F 4E8 6;4A:8F <A 6B@C8G<GBEFP CE<68F G;8 6BFG B9 BG;8E E4J @4G8E<4?F 4A7 <A 78@4A7
BANCO DE ESPAÑA
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DOCUMENTO OCASIONAL N.º 0904
F 8KC86G87 G;8 FHEI8L 4?FB F;BJF 6BAF<78E45?8 F86GBE4? ;8G8EB:8A8<GL <A G;8 EB?8 B9 8A8E:L
4F 4 7E<I8E B9 CE<68 6;4A:8F A8E:L CE<68F 4E8 C4EG<6H?4E?L <@CBEG4AG GB 8KC?4<A CE<68F <A G;8
CEB7H6G<BA B9 8A8E:L 8A8E:L GE478 4A7 4?FB <A G;8 GE4AFCBEG F86GBE !A 6BAGE4FG G;8L 4E8 ;4E7?L
E8?8I4AG <A 6B@@HA<64G<BAF 4A7 ABA8A8E:L GE478 FB G;8 <@C46G BA ABA8A8E:L 6BAFH@8E CE<68F
64A 58 8KC86G87 GB 58 DH<G8 ?<@<G87
,;8 DH4?<G4G<I8 <A9BE@4G<BA 9EB@ G;8 FHEI8L BA CE<6<A: 58;4I<BHE <F FHCCBEG87 5L DH4AG<G4G<I8
A4G<BA4? 466BHAGF 74G4 !ACHGBHGCHG G45?8F CEBI<78 <A9BE@4G<BA BA G;8 6BFG FGEH6GHE8 B9 G;8 7<9
98E8AG <A7HFGE<8F !A7887 <G BU8EF 78G4<?87 <A9BE@4G<BA BA G;8 @4G8E<4? <ACHGF HF87 <A G;8 7<U8E8AG
CEB7H6G<BA CEB68FF8F J;<6; 64A 58 HF87 GB 78G8E@<A8 G;8 F;4E8 B9 B<? 4A7 9H8?F BG;8E 8A8E:L <G8@F
4A7 ABA8A8E:L @4G8E<4? <ACHGF HEG;8E <G CEBI<78F <A9BE@4G<BA BA ?45BHE 6BFGF <A G8E@F B9 6B@
C8AF4G<BA C8E 8@C?BL88 F 64A 58 F88A <A ,45?8 G;8 F;4E8 B9 B<? 4A7 9H8?F 6BFGF <A GBG4? 6BFGF <F
94<E?L F@4?? <A +C4<A 4A7 <A %- 8K68CG 9BE G;8 CEB7H6G<BA B9 8A8E:L ,;8F8 F@4??
F;4E8F FH::8FG G;4G <A7<E86G <@C46GF B9 B<? CE<68 F;B6>F 4E8 ?<>8?L GB 58 DH<G8 ?<@<G87
,45?8 COST STRUCTURE OF DIFFERENT INDUSTRIES. INPUT OUTPUT TABLE, BASIC PRICES. YEAR 2005
COST STRUCTURE (%)
OIL AND FUELS
COSTS
OTHER ENERGY
COSTS
OTHER
INTERMEDIATE
CONSUMPTION
COSTS
COMPENSATION
PER EMPLOYEE
TOTAL
SPAIN
Total economy
Energy
Industry
Services
3.4
21.1
5.7
1.3
2.0
18.5
1.9
1.3
61.4
45.3
73.8
54.0
33.2
15.1
18.6
43.4
100
100
100
100
EMU (a)
Total economy
Energy
Industry
Services
2.9
13.9
5.2
1.2
1.6
20.2
1.6
0.9
59.3
44.0
71.7
50.9
36.2
21.9
21.5
47.0
100
100
100
100
SOURCE: Eurostat.
a. EMU: Germany, France and Spain.
,;8 F<M8 B9 <A7<E86G 8U86GF B9 B<? CE<68 6;4A:8F ?B:<64??L 78C8A7F BA G;8 8T6<8A6L 4A7 B<? <A
G8AF<GL B9 CEB7H6G<BA CEB68FF8F '<? CE<68 F;B6>F <A G;8 84E?L F GE<::8E87 G;8 78I8?BC@8AG B9
@BE8 8A8E:L8T6<8AG CEB7H6G<BA 9HA6G<BAF J;<6; ;4I8 E87H687 G;8 HF8 B9 B<? C8E HA<G B9 BHGCHG
%BE8BI8E G;8E8 ;4I8 588A F86GBE4? 6;4A:8F <A G;8 6B@CBF<G<BA B9 I4?H8 47787 4A7 CEB7H6G<BA 4A7
B<? <AG8AF<I8 <A7HFGE<8F 4E8 ?8FF <@CBEG4AG ABJ %4EG[A 8G 4? F 4 E8FH?G G;8 HF8 B9 B<? C8E
HA<G B9 BHGCHG J4F 4?@BFG ?BJ8E G;4A <A &BGJ<G;FG4A7<A: G;<F B<? 78C8A78A6L <A +C4<A
<F FG<?? ;<:;8E G;4A <A BG;8E <A7HFGE<4?<M87 86BAB@<8F 66BE7<A: GB 74G4 9EB@ G;8 !AG8EA4G<BA4?
A8E:L :8A6L B<? <F G;8 @BFG E8?8I4AG FBHE68 B9 CE<@4EL 8A8E:L !A +C4<A G;<F F;4E8 J4F <A
SG;8 ?4FG L84E 9BE J;<6; G;8E8 <F <A9BE@4G<BA 4I4<?45?8 CC ?BJ8E G;4A <A !A GHEA <A
HEBC84A ' 6BHAGE<8F G;<F F;4E8 J4F <A CC ?BJ8E G;4A <A ,;<F 8I<78A68
FH::8FGF G;4G <A7<E86G 8U86GF B9 B<? CE<68 F;B6>F J<?? 58 F@4??8E ABJ474LF G;4A G;8L J8E8 <A G;8 C4FG
BANCO DE ESPAÑA
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DOCUMENTO OCASIONAL N.º 0904
,;8E8 <F F<:A<N64AG 6EBFF<A7HFGEL ;8G8EB:8A8<GL G;BH:; '<? <AG8AF<GL <F I8EL ;<:; <A G;8 GE4AFCBEG
F86GBE J;8E8 <G ;4F ;4E7?L 6;4A:87 <A G;8 ?4FG 786478F 4A7 6BAF<78E45?L F@4??8E <A @4AH946GHE<A:
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CEB68FF B9 G;8 +C4A<F; 86BAB@L N:HE8 <:HE8 OIL PRICE INCREASES AND INFLATION
ADJUSTMENT CLAUSES (a)
pp
SIZE OF INFLATION ADJUSTMENT
CLAUSES
1.2
1
0.8
0.6
0.4
0.2
0
-0.2
-40
-20
0
20
OIL PRICE INCREASE
SOURCE: Banco de España.
a. Annual figures: 1991-2008
BANCO DE ESPAÑA
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DOCUMENTO OCASIONAL N.º 0904
40
60
%
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,45?8 POLICIES OF ADJUSTING BASE WAGES TO INFLATION
EXPERT SURVEY
PERCENTAGE OF
WORKERS COVERED
BY WAGE
INDEXATIONS
CLAUSES
Spain
Euro area
Germany
France
Italy
>75%
None
<25%
<25%
FIRM SURVEY
TOTAL
70
31
27
33
6
AUTOMATIC LINK AUTOMATIC LINK TO
TO PAST INFLATION EXPECTED INFLATION
38
13
na
1
1
NO FORMAL RULE.
PAST INFLATION
TAKEN INTO
ACCOUNT
16
4
na
5
1
11
6
na
5
3
NO FORMAL RULE.
EXPECTED INFLATION
TAKEN INTO
ACCOUNT
5
7
na
21
2
SOURCES: Expert survey: Du Caju et al. (2008). Firm survey: Druant et al. (2008)
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BANCO DE ESPAÑA
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DOCUMENTO OCASIONAL N.º 0904
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20
DOCUMENTO OCASIONAL N.º 0904
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BANCO DE ESPAÑA
21
DOCUMENTO OCASIONAL N.º 0904
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,45?8 Effects from a 10% rise in the price of oil according to MTBE
endogenous wages
Accumulated percentage differences from base scenario
1. PRICES AND COSTS
Harmonized index of consumer prices (HICP)
Non-energy component of HICP
Energy-component of HICP
GDP deflator
Private consumption deflator
Deflator of exports of goods and services
Deflator of imports of goods and services
Unit labour costs
Compensation per employee
2. ACTIVITY (constant prices)
GDP
Private consumption
Public consumption
Gross fixed capital formation
Exports of goods and services
Imports of goods and services
Contributions to growth of real GDP
National demand (difference in levels)
Net exports (difference in levels)
3. OTHER VARIABLES
Unemployment rate (difference in levels)
Employment
Real disposable income
exogenous wages
year
1
year
2
year
3
year
1
year
2
year
3
0.25
0.07
1.79
0.16
0.29
0.06
0.91
0.09
0.08
0.38
0.25
1.59
0.18
0.23
0.12
0.83
0.25
0.17
0.33
0.22
1.33
0.03
0.03
0.00
0.63
0.08
0.16
0.23
0.05
1.77
0.10
0.22
0.04
0.89
0.00
0.00
0.28
0.15
1.53
0.05
0.11
0.05
0.79
0.10
0.01
0.20
0.09
1.27
-0.08
-0.04
-0.04
0.61
-0.03
0.03
0.01
-0.04
0.00
0.06
-0.01
-0.06
-0.21
-0.09
0.00
-0.11
-0.09
0.12
-0.27
-0.18
0.00
-0.39
-0.06
-0.07
0.01
-0.04
0.00
0.04
-0.01
-0.08
-0.21
-0.09
0.00
-0.21
-0.05
0.08
-0.27
-0.20
0.00
-0.47
-0.01
-0.08
0.00
0.02
-0.08
-0.05
-0.21
0.01
-0.01
0.03
-0.11
-0.03
-0.24
0.03
-0.01
0.02
-0.17
0.08
-0.12
-0.24
0.20
-0.35
-0.19
-0.01
0.02
-0.15
0.07
-0.11
-0.25
0.19
-0.34
-0.24
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DOCUMENTO OCASIONAL N.º 0904
<:HE8 Effects from a 10% rise in the price of oil with endogenous and exogenous wages
0,5
HICP
0,4
2,0
energy HICP
0,3
1,5
0,2
1,0
0,1
non-energy HICP
0,3
0,2
0,1
0,0
0,3
GDP deflator
0,5
0,0
0,0
-0,1
0,4
Private consumption deflator
Imports deflator
1,2
1,0
0,2
0,3
0,1
0,2
0,0
0,1
-0,1
0,0
0,2
-0,2
-0,1
0,0
0,8
0,6
0,1
GDP
0,1
0,4
Employment
0,3
Private sector wages
0,0
0,0
0,2
-0,1
-0,1
-0,2
-0,2
0,1
-0,3
0,0
-0,3
-0,4
-0,4
-0,5
baseline simulation (endogenous wages)
-0,1
exogenous wages
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DOCUMENTO OCASIONAL N.º 0904
Impact of a 10% rise in the international price of oil
Inflation
GDP (rate of growth)
Year 1
Year 2
T ota l e ffe c t (1 )
0. 25
0. 13
0. 01
- 0. 22
D ire c t e ffe c t (2 )
Indire c t effe c t (3 )
Second-round effect (4)
0. 20
0. 03
0.02
0. 00
0. 05
0.07
0. 00
0. 01
0.00
0. 00
- 0. 22
0.00
Euro area total effect (5)
0.06 to 0.32
0.02 to 0.22
Year 1
-0.02 to -0.16
Year 2
-0.06 to 0.04
(1) Results from baseline simulation with MTBE.
(2) Coefficients in equations, and weight of energy in total HICP.
(3) Results from simulation with exogenous wages, minus (2).
(4) Results from baseline simulation minus (2) minus (3).
(5) Results for the euro area from other large-scale macroeconomic models (ECB AWM, EC QUEST, NiGEM, OECD Interlink, IMF Multimod)
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DOCUMENTO OCASIONAL N.º 0904
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DOCUMENTO OCASIONAL N.º 0904
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DOCUMENTO OCASIONAL N.º 0904
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DOCUMENTO OCASIONAL N.º 0904
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DOCUMENTO OCASIONAL N.º 0904
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DOCUMENTO OCASIONAL N.º 0904
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GDP deflator
HICP
0.2
nominal interest rate
0.4
0.1
0.3
0.08
0.1
0.2
0.06
0.05
0.1
0.04
0
0
Spain
rest of EMU
0.15
0
5
10
15
20
0
real interest rate
0.1
0.04
0
0.02
-0.1
0
-0.2
0
5
10
15
10
15
20
0.02
20
-0.3
0
5
10
15
20
-1
0
employment
0.1
0.05
-0.1
0
0
-0.2
-0.1
-0.05
20
-0.2
0
5
10
15
5
10
15
20
nominal wages
0
15
20
-0.5
0.1
10
15
private investment
0.2
5
10
0
GDP
0
5
0.5
0.1
-0.3
0
private consumption
0.06
-0.02
5
20
-0.1
0
5
10
15
20
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BANCO DE ESPAÑA
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DOCUMENTO OCASIONAL N.º 0904
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BANCO DE ESPAÑA
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DOCUMENTO OCASIONAL N.º 0904
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BJ8I8E G;8F8 DH4AG<G4G<I8 E8FH?GF ;4I8 GB
58 <AG8ECE8G87 J<G; 64E8 4@BA: BG;8E E84FBAF 5864HF8 <A78K4G<BA 4A7 J4:8 F8GG<A: 4E8 @B78??87
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J4:8F <A G;8 @B78? 4E8 <A78K87 GB G;8 DH4EG8E BA DH4EG8E <AO4G<BA E4G8 B9 G;8 CE8I<BHF DH4EG8E
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CE8I<BHF L84E J;<6; JBH?7 <@C?L ?BA:8E <A8EG<4 F86BA7 J4:8F 4E8 4FFH@87 GB 58 F8G ) 4?IB
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GDP deflator
HICP
0.2
nominal interest rate
0.4
0.1
0.3
0.08
0.1
0.2
0.06
0.05
0.1
0.04
baseline model
no wage indexation
0.15
0
0
5
10
15
20
0
0
real interest rate
5
10
15
20
0.02
0
private consumption
0.04
10
15
20
private investment
0.1
0.5
0
0.02
5
0
-0.1
0
-0.02
-0.5
-0.2
0
5
10
15
20
-0.3
0
GDP
5
10
15
20
-1
employment
0.2
0.1
0
0.1
0.05
-0.1
0
0
-0.2
-0.1
-0.05
-0.3
-0.2
5
10
15
20
0
5
10
15
5
10
15
20
nominal wages
0.1
0
0
20
-0.1
0
5
10
15
20
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DOCUMENTO OCASIONAL N.º 0904
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0.3
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0.3
0.15
0.2
0.1
0.1
0.1
0.05
0
0
0
baseline model
core inflation targeting
0.2
-0.1
0
5
10
15
20
-0.1
0
real interest rate
10
15
20
0.05
0
0
-0.1
-0.05
-0.2
5
10
15
20
-0.3
0
5
10
15
20
-1
0
employment
0
0.1
0.05
-0.1
0
0
-0.2
-0.1
-0.05
-0.3
-0.2
20
20
0
5
10
15
5
10
15
20
nominal wages
0.1
15
15
-0.5
0.2
10
10
0
GDP
5
5
0.5
0.1
0
0
private investment
0.1
0
-0.05
private consumption
0.1
-0.1
5
20
-0.1
0
5
10
15
20
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DOCUMENTO OCASIONAL N.º 0904
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DOCUMENTO OCASIONAL N.º 0904
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DOCUMENTO OCASIONAL N.º 0904
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DOCUMENTO OCASIONAL N.º 0904
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introductory overview. (There is a Spanish version of this edition with the same number.)
0809 FRANCISCO DE CASTRO AND JOSÉ M. GONZÁLEZ-MÍNGUEZ: La composición de las finanzas públicas y el
crecimiento a largo plazo: Un enfoque macroeconómico.
0810 OLYMPIA BOVER: The dynamics of household income and wealth: results from the panel of the Spanish survey
of household finances (EFF) 2002-2005. (The original Spanish version has the same number.)
0901 ÁNGEL ESTRADA, JUAN F. JIMENO AND JOSÉ LUIS MALO DE MOLINA: The Spanish economy in EMU:
The first ten years. (The original Spanish version has the same number.)
0902 ÁNGEL ESTRADA AND PABLO HERNÁNDEZ DE COS: Oil prices and their effect on potential output. (The
original Spanish version has the same number.)
0903 PALOMA LÓPEZ-GARCÍA, SERGIO PUENTE AND ÁNGEL LUIS GÓMEZ: Employment generation by small firms
in Spain.
0904 LUIS J. ÁLVAREZ, SAMUEL HURTADO, ISABEL SÁNCHEZ AND CARLOS THOMAS: The impact of oil price
changes on Spanish and euro area consumer price inflation.
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