摘要：This paper provides a fully micro-founded New Keynesian framework to study the
interaction between oil price volatility, pricing behavior of firms and monetary
policy. We show that when oil has low substitutability, firms find it optimal to
charge higher relative prices as a premium in compensation for the risk that oil
price volatility generates on their marginal costs. Overall, in general
equilibrium, the interaction of the aforementioned mechanisms produces a
positive relationship between oil price volatility and average inflation, which
we denominate inflation premium. We characterize analytically this relationship
by using the perturbation method to solve the rational expectations equilibrium
of the model up to second order of accuracy. The solution implies that the
inflation premium is higher when: a) oil has low substitutability, b) the
Phillips Curve is convex, and c) the central bank puts higher weight on output
fluctuations. We also provide some quantitative evidence showing that a
calibrated model for the US with an estimated active Taylor rule produces a
sizable inflation premium, similar to the levels observed in the US during the
70s.
关键词：Second Order Solution, Oil Price Shocks, Endogenous Trade-off
