Added Title
DLSU-AKI Working Paper Series 2026-10-107
Document Type
Working Paper
Publication Date
10-2026
Abstract
This paper examines the role of oil price uncertainty in shaping household inflation expectations and broader inflation dynamics in the Philippines. It develops a novel country-specific oil price uncertainty (OPU) index using a news-based approach and combines this measure with quarterly household inflation expectations from the Bangko Sentral ng Pilipinas Consumer Expectations Survey. Using a Bayesian structural vector autoregression identified via narrative sign restrictions, the paper isolates unexpected oil price uncertainty shocks and compares their macroeconomic effects with shocks associated with realized movements in Brent crude oil prices. The results show that positive oil price uncertainty shocks increase household inflation expectations and headline inflation while temporarily reducing output growth. Compared with shocks to Brent crude prices, oil price uncertainty shocks generate larger and more persistent responses of the monetary policy rate and account for a greater share of fluctuations in household inflation expectations, inflation, and monetary policy. Historical decompositions further indicate that oil price uncertainty shocks played an important role during episodes of heightened geopolitical uncertainty, highlighting oil price uncertainty as a distinct transmission channel through which developments in global oil markets affect Philippine inflation dynamics and monetary policy.
html
Recommended Citation
Zoleta, A. (2026). A Country-Specific Oil Price Uncertainty Index for the Philippines and Its Implications for Inflation Expectations. Retrieved from https://animorepository.dlsu.edu.ph/res_aki/249
Keywords
Oil price uncertainty, inflation expectation, brent crude price
Upload File
wf_yes
