2024-05-26-彼得森经济研究所-11个经济体疫情时期通货膨胀的分析（英）-2024.5+_56页_2mb

24-11 Pandemic-Era Inflation Analysis in 11 Economies

Core Content

This paper presents an analysis of pandemic-era inflation across 11 economies, building on the Bernanke-Blanchard (BB) model originally developed for the United States. The model examines the joint dynamics of consumer prices, wages, and inflation expectations, focusing on the role of supply-side shocks and labor market conditions in driving inflation. The study is a joint effort with central banks from France, Japan, the UK, Belgium, Germany, Spain, Italy, the Netherlands, Canada, and the euro area.

The BB model was designed to capture how adverse relative price shocks (such as energy and food price increases) and sectoral shortages initially drove inflation, while labor market tightness played a more significant and persistent role in the later stages. The findings suggest that while price shocks had strong but temporary effects, labor market conditions contributed to sustained inflationary pressures. The analysis also highlights that the transmission mechanisms differ across countries, influenced by institutional settings, data availability, and policy responses.

Main Findings

• Initial Inflation Drivers: Pandemic-era inflation was primarily driven by adverse relative price shocks and sectoral shortages, which had strong but largely transient effects.
• Role of Labor Markets: As price shocks stabilized or reversed, tight labor markets became a more important factor in sustaining inflation. This was due to increased wage inflation, which in turn fed into price inflation.
• Transmission Channels: The model identifies several key transmission mechanisms:
  • Price shocks affect both consumer prices and inflation expectations.
  • Unanticipated inflation leads to catch-up wage demands.
  • Wage inflation increases production costs and thus contributes to price inflation.
• Variation Across Countries: While the overall pattern is similar to the US, the relative importance of price shocks and labor market effects differs by country. Some countries showed weaker labor market impacts on inflation, which may allow them to return to target without significant increases in unemployment.
• "Last Mile" Challenge: The challenge of returning inflation to target remains, with some economies possibly requiring loosening labor market conditions to achieve this.

Key Model Components

1. Wage Equation

• Wage inflation depends on:
  • Labor market tightness (vacancy-unemployment ratio).
  • Short-run inflation expectations.
  • Catch-up variable (unexpected inflation over the previous four quarters).
• The model accounts for backward-looking catch-up effects, distinguishing it from traditional Phillips curve specifications.

2. Price Equation

• Price inflation depends on:
  • Wage inflation.
  • Relative price shocks (energy, food, and sectoral shortages).
  • Productivity growth (as it reduces unit costs).
• The model includes lagged variables to capture the dynamic nature of price shocks.

3. Long-Run Inflation Expectations

• Long-run inflation expectations depend on:
  • Lagged inflation.
  • Lagged long-run expectations.
• The anchoring of expectations is reflected in the coefficient on lagged inflation.

4. Short-Run Inflation Expectations

• Short-run inflation expectations depend on:
  • Lagged short-run expectations.
  • Current long-run expectations.
  • Lagged inflation.
• The model allows for a richer lag structure in empirical applications.

Model Adaptation and Limitations

• The model was adapted for each country, with modifications due to data availability and institutional differences.
• Homogeneity restrictions were used to ensure no long-run tradeoff between labor market tightness and inflation (a vertical long-run Phillips curve).
• Identification was achieved through restrictions on contemporaneous coefficients, notably the assumption that wage inflation does not react to current changes in its determinants.
• The model does not provide a full general equilibrium analysis, as it treats variables like energy prices and productivity growth as exogenous.

Cross-Country Evidence

• The dynamic effects of price shocks are generally transitory, while those of labor market tightness are more persistent.
• Impulse response functions show that in most countries, price shocks dominate inflation early on, but as these effects fade, labor market conditions become more influential.
• The overall pattern aligns with the US findings, with similar trends in wage and price inflation, but country-specific variations exist in the magnitude and persistence of these effects.

Conclusion and Implications

• The episode of pandemic-era inflation is distinct from the 1970s inflation due to more anchored inflation expectations and limited wage catch-up.
• The model has been adopted by several central banks as part of their forecasting frameworks.
• The "last mile" challenge remains, with some countries needing further labor market cooling to return inflation to target.
• Future research should explore the primitive determinants of price shocks and labor market conditions, including the role of fiscal and monetary policies, global pandemic effects, and supply chain disruptions.

Key Terms

• Inflation expectations: Both short-run and long-run.
• Labor market tightness: Vacancy-unemployment ratio.
• Catch-up: Unanticipated inflation affecting wage demands.
• Relative price shocks: Energy, food, and sectoral price increases.
• Sectoral shortages: Supply chain disruptions and reduced labor supply.

References

• The model was estimated using quarterly data from 1990Q1 to 2023Q2 for the US.
• Country-specific papers were produced and are listed in the bibliography.
• JEL codes: E30, E31, E52.
• Keywords: Inflation, monetary policy, aggregate demand, Beveridge curve, commodity prices, energy prices, food prices, shortages, inflation expectations.