20202022年欧洲通胀飙升：基于菲利普斯曲线的剖析（英）

The2020-2022InflationSurgeAcrossEurope:APhillips-Curve-BasedDissection ChikakoBaba,RomainDuval,TingLanandPetiaTopalova WP/23/30 IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate. TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement. 2023 FEB ©2023InternationalMonetaryFundWP/23/30 IMFWorkingPaper EuropeanandResearchDepartments The2020-2022InflationSurgeAcrossEurope:APhillips-Curve-BasedDissectionPreparedbyChikakoBaba,RomainDuval,TingLanandPetiaTopalova* AuthorizedfordistributionbyRomainDuvalFebruary2023 IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement. ABSTRACT:In2021-22,inflationinEuropesoaredtomultidecadehighs,consistentlyexceedingpolicymakers’forecastsandsurprisingwithitswidecross-countrydispersion.ThispaperanalyzesthekeydriversoftheinflationsurgeinEuropeanditsvariationacrosscountries.TheanalysishighlightssignificantdifferencesinPhillipscurveparametersacrossEurope’seconomies.InflationismoresensitivetodomesticslackandexternalpricepressuresinemergingEuropeaneconomiescomparedtotheiradvancedcounterparts,whichcontributedtoagreaterpassthroughofglobalcommoditypriceshocksintodomesticprices,and,consequently,tolargerincreasesininflationrates.AcrossEurope,inflationalsoappearstohavebecomeincreasinglybackwardlookingandmoresensitivetocommoditypriceshockssincetheonsetoftheCOVID-19pandemic. Thisfindinghelpsexplainwhyconventional(Phillipscurve)inflationmodelsconsistentlyunderpredictedthe2021-2022inflationsurge,althoughitremainstooearlytoconcludetherehasbeenastructuralbreakintheinflationprocess. RECOMMENDEDCITATION:Baba,Chikako,RomainDuval,TingLanandPetiaTopalova.2023.TheInflationSurgeinEurope.IMFWorkingPaperNo.WP/23/30.WashingtonDC.] JELClassificationNumbers: E31,E37,E58 Keywords: inflation;Phillipscurve;slack;externalprice;backward-looking Author’sE-MailAddress: cbaba@imf.org;rduval@imf.org;tlan@imf.org;ptopalova@imf.org WearegratefultoJörgDecressinandAlfredKammerfortheirguidanceandsupport,andacknowledgevaluablecontributionsbyPhilippEngler,SvitlanaMaslova,JorgeSalas,andMagnusSaxegaard.ChunJin,ClaireLi,SabihaMohona,andBenParkprovidedoutstandingresearchassistance.StaffoftheIMFprovidedhelpfulcommentsviatheinternalreviewprocess,seminarsandsurveillancemeetings. Contents I.Introduction2 II.EmpiricalPhillipsCurvesforEurope4 1.SpecificationandData4 2.EstimationResultsandRobustness5 3.ContributiontoInflationDynamics6 III.ShiftsinthePhillipsCurves8 IV.Conclusion9 AnnexI.DataSources16 AnnexII.ResultsforHeadlineinflation16 References20 FIGURES 1.InflationDevelopmentsinEurope10 2.ContributiontoInflationDynamics10 3.CoefficientsfromRollingRegressions11 A1.ContributiontoInflationDynamics:Headlineinflation16 TABLES 1.BenchmarkPhillipsCurveEstimation12 2.RobustnessChecks:PhillipsCurveEstimation13 3.PhillipsCurve:PrevsPostCovidPeriod14 4.PhilippsCurve:HighvsLowInflationPeriod15 A1.DataSources16 A2.BenchmarkPhillipsCurveEstimation:Headlineinflation17 A3.PhillipsCurveforHeadlineInflation:PrevsPostCovidPeriod18 A4.PhilippsCurveforHeadlineInflation:HighvsLowInflationPeriod19 I.Introduction Themarkedandpersistentriseininflationin2021-22defiedforecastsandtookcenterstageinpolicydiscussionsinEuropeandbeyond.AsinflationsoaredtomultidecadehighsandpricepressuresbroadenedbeyondselectcommoditiesanddurablegoodsaffectedbysupplyshocksrelatedtotheCOVID-19pandemicandRussia’swarinUkraine,centralbankshadtoconfrontseveralchallenges:diagnosingthedriversofthesurgeininflation,forecastingitslikelypathandrisksaroundit,andcalibratingmonetarypoliciesaccordingly. TwoaspectsoftheinflationsurgeinEuropehavebeenparticularlypuzzling,namelyitscross-countrydispersionandrecurringunder-estimationbyeconomicforecasters.First,inflationexceeded5percentinalmostallEuropeaneconomiesbylatesummer2022,butitsrisewasfarlargerinemergingmarketeconomiesthanitwasinadvancedones.Forexample,bythesummerof2022,headlineinflationreached20–25percentintheBalticcountries,threetofourtimestherateinthelowest-inflationcountriesintheeuroarea(Figure1,panels1and2).Likewise,averagecoreinflationinemergingEuropeaneconomiesexceeded20percentbythesecondquarterof2022—a12percentagepointsgapvis-a-visadvancedEuropeancountries,comparedtoa2-3percentagepointsgappriortothepandemic(Figure1,panel3).Thisheterogeneityissurprisinggiventhelargelycommonnatureoftheenergy,foodandglobalsupplychainpriceshocksthatsparkedthesurge(Figure1,panel4).Second,inflationoutturnshaveconsistentlyandrepeatedlyexceededanalysts’andpolicymakers’forecasts.Forexample,IMF’sApril2022WorldEconomicOutlook(WEO)forecasterrorsforcoreinflationinthesecondquarterof2022werepositiveforallbutoneadvancedandemergingmarketeconomiesinEurope. Manyhypothesesfortheunusualbehaviorofinflationhavebeenputforward(seee.g.Gopinath,2022,andChah