How to keep environment variables when using sudo

First you need to export HTTP_PROXY. Second, you need to read man sudo carefully, and pay attention to the -E flag. This works:

$ export HTTP_PROXY=foof
$ sudo -E bash -c 'echo $HTTP_PROXY'

Here is the quote from the man page:

-E, --preserve-env
             Indicates to the security policy that the user wishes to preserve their
             existing environment variables.  The security policy may return an error
             if the user does not have permission to preserve the environment.

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