一百次通货膨胀冲击：七个典型事实（英）

OneHundredInflationShocks:SevenStylizedFacts AnilAri,CarlosMulas-Granados,VictorMylonas,LevRatnovski,andWeiZhao WP/23/190 IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate. TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement. 2023 SEP ©2023InternationalMonetaryFundWP/23/190 IMFWorkingPaper EuropeanDepartment OneHundredInflationShocks:SevenStylizedFacts PreparedbyAnilAri,CarlosMulas-Granados,VictorMylonas,LevRatnovski,andWeiZhao* AuthorizedfordistributionbyS.AliAbbasSeptember2023 IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement. ABSTRACT:Thispaperidentifiesover100inflationshockepisodesin56countriessincethe1970s,includingover60episodeslinkedtothe1973–79oilcrises.Wedocumentthatonlyin60percentoftheepisodeswasinflationbroughtbackdown(or“resolved”)within5years,andthateveninthese“successful”casesresolvinginflationtook,onaverage,over3years.Successrateswerelowerandresolutiontimeslongerforepisodesinducedbyterms-of-tradeshocksduringthe1973–79oilcrises.Mostunresolvedepisodesinvolved“prematurecelebrations”,whereinflationdeclinedinitially,onlytoplateauatanelevatedlevelorre-accelerate.Сountriesthatresolvedinflationhadtightermonetarypolicythatwasmaintainedmoreconsistentlyovertime,lowernominalwagegrowth,andlesscurrencydepreciation,comparedtounresolvedcases.Successfuldisinflationswereassociatedwithshort-termoutputlosses,butnotwithlargeroutput,employment,orrealwagelossesovera5-yearhorizon,potentiallyindicatingthevalueofpolicycredibilityandmacroeconomicstability. RECOMMENDEDCITATION:Ari,A.,Mulas-Granados,C.,Mylonas,V.,Ratnovski,L.,&Zhao,W.(2023).OneHundredInflationShocks:SevenStylizedFacts.IMFWorkingPaperWP/23/190 JELClassificationNumbers: E31;E52;E61;E65;Q43 Keywords: InflationShocks;Disinflation;MonetaryPolicy;1973–79OilCrises;Terms-of-TradeShocks Author’sE-MailAddress: aari@imf.org(corresponding);cmulagranados@imf.org;lratnovski@imf.org;v.mylonas@tilburguniversity.edu;wzhao@imf.org *TheauthorsthankS.AliAbbas,HelgeBerger,LuisBrandaoMarques,OyaCelasun,NirKlein,LauraPapi,andseminarparticipantsattheIMF,HMTreasury,andtheBankofEnglandforusefulcommentsandsuggestions.Allerrorsareours. Contents 1.Introduction2 2.RelatedLiterature4 3.DataandMethods6 3.1.DataSources6 3.2.EpisodeSelectionandtheSample7 3.3.EmpiricalStrategy10 3.4.MeasuringMacroeconomicConditionsandPolicySettings11 4.TheSevenStylizedFacts13 Fact1:Inflationispersistent,especiallyafteraterms-of-tradeshock13 Fact2.Mostunresolvedinflationepisodesinvolved“prematurecelebrations”14 Fact3:Countriesthatresolvedinflationhadtightermonetarypolicy15 Fact4.Countriesthatresolvedinflationimplementedrestrictivepoliciesmoreconsistentlyovertime18 Fact5.Countriesthatresolvedinflationcontainednominalexchangeratedepreciation20 Fact6.Countriesthatresolvedinflationhadlowernominalwagegrowth21 Fact7.Countriesthatresolvedinflationdidnotexperiencelowergrowthorhigherunemploymentoverthe5-yearhorizon22 5.Robustness24 6.IllustrativeCaseStudies26 7.Conclusions29 References30 AppendixI.Datasourcesandsummarystatistics35 AppendixII.EpisodeSelection36 AppendixIII.SelectedEpisodes46 AppendixIV.BaselineResultswithanExtendedSetofVariables54 AppendixV.RobustnessResults55 Figure1.HistoricalInflation (CPIinflation,percent,year-on-year) Sources:IMF,andtheWorldBank. 1.Introduction Theinflationshockthatstartedin2021followedalongperiodofpricestability.Thepredictionsthatinflationwouldprove“transitory”collidedwithharshrealityover2022–23asinflationclimbedhigherandprovedmorepersistentthanexpectedbymostanalystsandcentralbanks(Figure1).1In2022,inflationpeakedabove8percentinOECDcountries—itshighestratesince1984—andapproacheddouble-digitsinemergingmarketanddevelopingeconomiesforthefirsttimesincethe1990s. Severalfactorshaveplayedaroleinthissuddeninflationsurge,withvaryingrelativeimportanceacrosscountries(BernankeandBlanchard,2023;Hansenetal.,2023;KochandNoureldin,2023).First,Russia’swaronUkrainedisruptedglobalcommoditymarketsandfueledanenergyandfoodpriceshockthathitfirmsandhouseholds(Arietal.,2022;Arreguietal.,2022).Second,supplychainswerestrainedbypandemiclockdownsandtherotationofconsumptionfromservicestogoods. Third,asthepandemicreceded,demandrecoveredfasterthanexpectedand,alongsidedemand-stimulatingfiscalpolicies(notablyintheU.S.),induceddemand-supplyimbalances(Celasunetal.,2022).Finally,nominalwageincreasesaccompanyingunprecedentedlabormarkettightnessexacerbatedinflationpersistence.2 Asinflationsurged,policymakersacrosstheworldwithdrewaccommodativepoliciesthatsupportedthepost-pandemicrecoveryandshiftedtopolicytightening.Centralbanksraisedinterestratesinabidtosuppressfast-growingprices,especiallywheregovernmentstooklongertoalignfiscalpolicieswithinflation-fightingobjectives.Indoing