通货膨胀动态和通胀预期外文文献翻译.docx

通货膨胀动态和通胀预期外文文献翻译.docx

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通货膨胀动态和通胀预期外文文献翻译

通货膨胀动态和通胀预期外文翻译2019-2020

英文

Globalinflationdynamicsandinflationexpectations

MartinFeldkirchera,PierreSiklos

Abstract

Inthispaperweinvestigatedynamicsofinflationandshort-runinflationexpectations.Weestimateaglobalvectorautoregressive（GVAR）modelusingBayesiantechniques.Wethenexploretheeffectsofthreesourceofinflationarypressurethatcoulddriveupinflationexpectations:

domesticaggregatedemandandsupplyshocksaswellasaglobalincreaseinoilpriceinflation.Ourresultsindicatethatinflationexpectationstendtoincreaseasinflationaccelerates.However,theeffectsofthedemandandsupplyshocksareshort-livedformostcountries.Whenglobaloilpriceinflationaccelerates,however,effectsoninflationandexpectationsareoftenmorepronouncedandlong-lasting.Hence,anassessmentofthelinkbetweenobservedinflationandinflationexpectationsrequiresdisentanglingtheunderlyingsourcesofinflationarypressure.Wealsoexaminewhethertherelationshipbetweenactualinflationandinflationexpectationschangedfollowingtheglobalfinancialcrisis.Thetransmissionbetweeninflationandinflationexpectationsisfoundtobelargelyunaffectedinresponsetodomesticdemandandsupplyshocks,whileeffectsofanoilpriceshockoninflationexpectationsaresmallerpost-crisis.

Keywords:

Inflation,Inflationexpectations,GVARmodelling,Anchoringofinflationexpectations

Introduction

Inflationexpectationsareapivotalvariableinprovidinginsightsaboutlikelyfutureeconomicconditions.Whilethedecadeslongdebateaboutthedegreetowhichmonetarypolicyisforwardlookinghasnotabated（e.g., Friedman,1968; Woodford,2003a）thereislittledoubtthatpolicymakersdevoteconsiderableattentiontotheeconomicoutlook.Hence,thedynamicsoftherelationshipbetweeninflationandinflationexpectationscontinuestopre-occupythemonetaryauthoritiesandcentralbankers.Evenbeforethefullimpactoftheglobalfinancialcrisis（GFC）of2008–9wasfeltintheUS,andinmanyotherpartsoftheglobe,centralbankerssuchas Bernanke（2007） highlightedtheimportanceofinflationexpectationssince“…thestateofinflationexpectationsgreatlyinfluencesactualinflation…“.Morerecently, Yellen（2016） alsounderscoresthecrucialroleplayedbyexpectationswhilebemoaningthefactthattheprofessionmustconfrontgapsinourknowledgeabouttherelationshipbetweenobservedinflationandtheshort-runinflationexpectationsthatliesattheheartofmanytheoreticalmacroeconomicmodels.Itisnotdifficulttocomeacrossspeechesbycentralbankerswho,onaregularbasis,touchuponthesubjectoftheformationandimplicationsofinflationexpectations.

Amain,butnotsole,driverofinflationexpectationsispastinflation.Attheriskofsomeover-simplification,inflationcanbethoughtofasbeingdrivenbytwosetsofdeterminants,namelylocalordomesticfactorsversusinternationalorglobalforces.Thelocaldeterminantswouldincludetechnicalprogressandchangesinproductivity,demographicfactors,institutionalconsiderationssuchastheadoptionofinflationtargetingandcentralbankindependenceand,since2008,theadoptionandmaintenanceofunconventionalmonetarypoliciesinsystemicallyimportanteconomies.Moregenerally,however,economiststendtomakethedistinctionbetweenaggregatedemandandsupplysourcesofchangesininflationpressure.Inwhatfollows,weretainthisdistinctiontoallowforgreatercomparabilitywiththeextantliteratureaswellasbecauseitprovidesuswithavehicletopresentnewinsightsintotheunderlyingdriversofinflationandultimatelyaboutthelikelihoodthatinflationexpectationscanbeanchored.

Globalizationinboththetradingofgoodandservicesandinfinanceisoftenalsotoutedasacriticaldriveroftheinternationalcomponentthatinfluencesdomesticinflationrates.Asaresult,theextantliteraturehasdivergedwhereinsomearguethatmodelsofinflationaretoonationcentric（e.g., Borio&Filardo,2007; Ahmad&Civelli,2016; Auer,Borio,&Filardo,2017, Kabukçuoğlu&Martínez-García,2018）whileothersplacegreateremphasisonthevariouslocalfactorsmentionedabove.

Thecurrentliteraturegenerallyfocusesonahomogeneoussetofcountries（e.g.,advancedoremergingmarketeconomies;seethefollowingsection）.Wedepartfromthisnormtoconsider42economiesthatspanawiderangeintermsoftheirsize,successatcontrollinginflation,monetarystrategiesinplace,andtheextenttowhichtheyweredirectlyimplicatedornotintheGFC.Tofullyexploitthepotentialforcross-borderspilloversininflationweusetheGlobalVARs（GVAR）methodology（Pesaran&Chudik,2016）.Thismethodologyiswellsuitedtoaddressthedomesticimpactofchanginginflationonexpectationsdynamicscontrollingforinternationalspilloversthroughcross-borderinter-linkages.

Often,globalfactorsareconstructedusingsomeindicatoroftradeopennesstoaggregatecountry-specificseries.Nevertheless,thereisdisagreementaboutwhetherthisistheappropriatevehicletoestimateglobalversuslocalinfluencesondomesticinflation（e.g., Kabukçuoğlu&Martínez-García,2018; Ahmad&Civelli,2016）.Instead,weproposeanovelsetofweightsinestimatingtheGVARobtainedfromtheforecasterrorvariancedecompositionsestimatedviathemethodologyof DieboldandYilmaz（DY,2009） developedtomeasurethedegreeofconnectedness.SincethedebateaboutlocalversusglobaldeterminantsofinflationexpectationspartlycentersaroundtheextenttowhichcountriesarelinkedtoeachothertheDYtechniqueisanaturalonetouseinthepresentcircumstances.Indeed,theforegoingcombinationofmethodologiespermitsustohighlighttwoneglectedaspectsofthedebateaboutwhatdrivesinflationandinflationexpectations.First,thattherelativeimportanceoflocalversusglobalfactorsislikelyafunctionofthepolicyhorizon.Second,theglobalizationofobservedinflationisalsoreflectedinaglobalizationofexpectedinflation.WhiletheGVARmethodologyprovidesaveryrichsetofpotentialshocksthatmaybeanalyzed,wefocusontwosetsofshocks.Theyare:

theimpactofdomesticaggregatedemandandsupplyshocksoninflationandinflationexpectationsandtheimpactofaglobaloilpricesupplyshockonthesesametwovariables.

Briefly,wefindthatinflationexpectationsrespondpositivelytoeitherdomesticaggregatedemandorsupplyshocks,buttheeffectsaregenerallytemporary.Thisfindingholdsequallytrueforthepost-crisisperiod.Bycontrast,ifinflationacceleratesduetoapick-upinglobaloilpriceinflation,inflationexpectationsrespondsignificantlypositiveandeffectsarelonglasting.Theimpactoninflationisevenlargerthanoninflationexpectations.Hence,oilpriceshocksdriveawedgebetweeninflationandinflationexpectationsevenamongprofessionalforecasters.Nevertheless,actualinflationandinflationexpectationstendtoco-movecloselyandthepass-throughhasdiminishedintheaftermathofthecrisis.Therefore,inanerawhereenergypricesarevolatileandaresubjecttolargeswings,thishasimplicationsforwhenandhowaggressivelymonetaryauthoritiesoughttorespondtooilpriceshocks.Anadditionalimportantimplicationisthatidentifyingtheaggregatesupplyfromaggregatedemandcomponentsofshocksiscriticaltounderstandingthedynamicsofbothobservedandexpectedinflation.

Literaturereview

Inflationexpectationslieatthecoreofallmacroeconomicmodels（e.g., Woodford,2003a）.Moreover,totheextentthatpolicyisabletoinfluencetheseexpectations,understandingtheconnectionwithobservedinflationremainsanessentialingredienttoevaluatingtheimpactofmonetarypolicy.

EspeciallyfollowingtheGFC,thedebatesurroundingthemechanismthatbestdescribeshowexpectationsadjustinresponsetoshocks,aswellaswhatarethefundamentaldriversofinflationexpectations,hasbeenrekindled.Thesameistrueofthecompanionliteraturethatexploresthedynamicsanddeterminantsofobservedinflation.Aneraofultra-lowinterestrates,combinedwithlowinflation,hasalsocontributedtorevivingthestudyanddebateaboutlinksbetweeninflationandinflationexpectations.

Rationalexpectationsserveasaconvenientbenchmark,inpartbecausetheoreticalmodelsarereadilysolvableandclosedformsolutionsaretypicallyfeasible.However,whenconfrontedwiththeempiricalevidence,considerabledifferencesofopinionemergeabouthowbesttodescribetheevolutionofexpectations.Forexample,anearlyassessmentbytheBankofJapanofitsQuantitativeandQualitativeEasingprogram（QQE; BankofJapan,2016）findsthattheJapanesearepronetoadjustinginflationexpectationsmoregraduallythaninotheradvancedeconomies（e.g.,theUSortheeuroarea）.Thisislargelyduetothebackward-lookingnatureoftheseexpectations.ThisalsoresonatessomewhatwithrecentevidencefromtheUS（e.g., Trehan,2015）andothereconomiesbothlargeandsystemicallyimportantaswellasonesthataresmallandopen（e.g., Bhatnagaret al.,2017）.

Ofcourse,theremaybeseveralexplanationsforthesluggishadjustmentofinflationexpectations.Japan,aftertwodecadesormoreofverylowinflationtolowdeflation,setsthiscountryapartfromtheremainingadvancedeconomieswhich,overthesameperiod,experiencedonlypassingboutsofdeflation（early2000sandintheaftermathofthe2007-8globalfinancialcrisis）. Sincethattime,below‘normal’inflationrateshavespreadacrossmuchoftheadvancedworld.Unsurprisingly,thishasattractedtheattentionandtheconcernofpolicymakers.Thisrepresentsarelativelynewele