Oil markets have experienced several major disruptions recently and this note assesses whether market-based inflation expectations price in the effects of these oil price shocks.

_{by Palesa Mnguni and Luchelle Soobyah}

• Oil markets have experienced several major disruptions recently and this note assesses whether market-based inflation expectations price in the effects of these oil price shocks.
• Oil price shocks matter more for medium-term inflation pricing than for the longer-term inflation outlook, a finding that is consistent across the daily and monthly models.
• The response of medium-term inflation pricing is driven mainly by higher estimated inflation expectations, with a more limited contribution from the inflation risk premium.
• Although oil price shocks raise near- to medium-term inflation expectations, market pricing suggests that investors do not expect these shocks to lead to a persistent deterioration in the longer-term inflation outlook or a sustained broadening of inflationary pressures.