碳密集型能源价格变化的宏观经济效应_模型比较（英）_49页_3mb

AI报告摘要

Macroeconomic Effects of Carbon-Intensive Energy Price Changes: A Model Comparison

Core Content

This paper presents a comparative analysis of the macroeconomic effects of temporary and permanent increases in carbon-intensive energy prices, focusing on the euro area and the United States. The study utilizes a set of multi-sector Dynamic Stochastic General Equilibrium (DSGE) models developed by several central banks and international organizations, including the BIS, ECB, Eurosystem, and others. These models are designed to incorporate detailed sectoral interactions and are used to assess the implications of climate-related shocks on inflation, output, and monetary policy.

Main Viewpoints

Climate Change and Monetary Policy: The transition to a green economy poses challenges for central banks, particularly in managing inflation and maintaining price stability. Climate policies and energy shocks can have significant effects on different economic sectors, influencing financial stability, monetary policy transmission, and aggregate growth.
Sectoral Interactions: The paper emphasizes the importance of modeling the energy sector within a multi-sector framework to better understand how climate-related shocks propagate through the economy. Different models incorporate varying degrees of sectoral detail, including energy, services, manufacturing, and capital production.
Model Comparison: The models used in the study are DSGE-based, with similar structures and features, but they differ in their country coverage, sectoral definitions, and methodology for energy price shock modeling. Despite these differences, they show large commonalities in quantitative and qualitative results.
Energy Price Shocks: Both temporary and permanent energy price shocks are inflationary. However, the inflationary impact of permanent shocks depends on model assumptions and monetary policy responses. The formation of expectations plays a crucial role in determining the long-term outcomes of these shocks.
Monetary Policy Rules: The Taylor rule is central to the analysis. Different rules lead to varying degrees of interest rate adjustments and different inflationary or deflationary outcomes. The paper highlights the importance of how central banks perceive the long-run adjustment in potential output during the transition to a lower-carbon economy.

Key Information

Models Used

The following models are analyzed in this study:

Model	Institution	Sectoral Coverage	Country Coverage	Energy Sector Features	Pass-Through Mechanism	Energy Price Shock	Nominal and Real Rigidities	Data Mapping	Main Focus	Horizon
SEEM	Banco Central de Chile	Intermediate goods, energy	Chile, euro area	Imported fossil and electricity from hydro, thermo, and renewables	Through consumers and producers	Shock in international prices of oil, coal, and natural gas	Prices	Calibrated	Monetary	Business cycle
BIS-MS	Bank for International Settlements	15+ sectors	80+ countries	Energy produced in mining and manufacturing	Indirect on consumption through production	TFP/markup in mining and manufacturing	Prices and wages	Calibrated (OECD-ICIO or ADB-MRIO)	Monetary	Business cycle and trends
EMuSe	Deutsche Bundesbank	Up to 62 sectors	40+ countries	Separate green and carbon-intensive energy sectors	Indirect on consumption and investment through production	TFP in carbon-intensive energy sector	Prices and wages	Calibrated (WIOD or FIGARO)	Policy analysis	Business cycle and trends
NAWM-E	European Central Bank	Intermediate goods, energy	Euro area, US, RoW	Disaggregated into clean and carbon-intensive energy	Direct into consumption and indirectly into production through marginal costs	Fossil resource price	Prices and wages	Calibrated	Monetary and fiscal policy	Business cycle frequency
E-QUEST	European Commission	7 sectors	EU, RoW	Fossil fuel and electricity	Households and firms use both types of energy	TFP/markup in fossil fuel supplying sector (alternatively: carbon tax)	Prices and wages	Calibrated (FIGARO)	Fiscal	Business cycle and long-run
C-EAGLE	Eurosystem	Energy, services, manufacturing	Euro area, US, RoW	Energy firms producing green and carbon-intensive goods	Through consumers and producers	TFP/taxes	Prices and wages	Calibrated	Monetary and fiscal policy	Business cycle frequency

Temporary Energy Price Shock

A 25% increase in the price of carbon-intensive energy is introduced, with a persistence of 0.5 over four quarters.
The inflationary impact is strong, averaging around 2 percentage points on impact, with cross-model variation in the peak response (1–3 pp).
The real output contracts, with an average decline of 0.3% and a maximum of 0.7% in the BIS-MS model.
Wage inflation shows a hump-shaped pattern, lasting longer than headline inflation.
The monetary policy response involves tightening across all models, with policy rates remaining elevated for several quarters before gradually returning to their initial levels.
The real interest rate rises, leading to a reduction in output and consumption.

Permanent Energy Price Shock

Permanent shocks have a longer-lasting effect on real variables (GDP, consumption), with declines persisting over time.
The inflationary or deflationary outcome depends on central bank expectations and interest rate rules.
If the output adjustment is perceived as immediate, the central bank may provide less stimulus, leading to deflationary pressures.
If the adjustment is gradual, the central bank may provide more accommodation, resulting in an inflationary outcome.
Expectations play a key role in determining the economic response to permanent shocks.

Conclusion

The study concludes that while multi-sector DSGE models yield similar quantitative and qualitative results, model-specific assumptions and policy rules can lead to different outcomes. The formation of expectations and the structure of the energy sector are critical in determining the monetary policy implications of energy price changes. The green transition is likely to have inflationary or deflationary effects, depending on how central banks respond to sectoral supply shocks and how they model long-term output adjustments.