The Role of Gasoline Price Expectations in Transmitting Gasoline Price Shocks to Inflation and Real Activity
Description
Monthly US data for 1992–2025 on five-year gasoline price expectations from the Michigan Survey, CPI inflation, industrial production, the real gasoline price and the Wu–Xia shadow rate, plus daily gasoline futures around EIA announcements used to instrument the gasoline price shock. MATLAB code builds the series and the instrument, estimates a Bayesian VAR identified by sign and zero restrictions, and runs the paper's counterfactual, muting the response of gasoline price expectations to isolate the second-round effects transmitted through that channel, with a regime-dependent local projection repeating the exercise for anchored and unanchored expectations. Python code reads the stored estimates and reproduces all sixteen figures and every reported statistic in about twenty minutes, without needing MATLAB.