Beginning with the global financial crisis (2008), the correlation between crude oil prices and medium-term and forward inflation expectations increased, leading to fears of their unanchoring. Using the first principal component of commodity prices as a measure for global aggregate demand, we decompose nominal oil prices to a global demand factor and an idiosyncratic factor. In a Phillips-curve framework, we find a structural change after the collapse of Lehman Brothers when inflation expectations reacted more strongly to global aggregate demand conditions. Within this framework, we find no evidence that expectations became un-anchored.