通货膨胀动态和通胀预期外文文献翻译.docx

1、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Global inflation dynamics and inflation expectationsMartin Feldkirchera, Pierre SiklosAbstractIn this paper we investigate dynamics of inflation and short-run inflation expectations. We estimate a global vector autoregressive (GVAR) model using Bayesian tec

2、hniques. We then explore the effects of three source of inflationary pressure that could drive up inflation expectations: domestic aggregate demand and supply shocks as well as a global increase in oil price inflation. Our results indicate that inflation expectations tend to increase as inflation ac

3、celerates. However, the effects of the demand and supply shocks are short-lived for most countries. When global oil price inflation accelerates, however, effects on inflation and expectations are often more pronounced and long-lasting. Hence, an assessment of the link between observed inflation and

4、inflation expectations requires disentangling the underlying sources of inflationary pressure. We also examine whether the relationship between actual inflation and inflation expectations changed following the global financial crisis. The transmission between inflation and inflation expectations is

5、found to be largely unaffected in response to domestic demand and supply shocks, while effects of an oil price shock on inflation expectations are smaller post-crisis.Keywords: Inflation, Inflation expectations, GVAR modelling, Anchoring of inflation expectationsIntroductionInflation expectations ar

6、e a pivotal variable in providing insights about likely future economic conditions. While the decades long debate about the degree to which monetary policy is forward looking has not abated (e.g.,Friedman, 1968;Woodford, 2003a) there is little doubt that policy makers devote considerable attention t

7、o the economic outlook. Hence, the dynamics of the relationship between inflation and inflation expectations continues to pre-occupy the monetary authorities and central bankers. Even before the full impact of the global financial crisis (GFC) of 20089 was felt in the US, and in many other parts of

8、the globe, central bankers such asBernanke (2007)highlighted the importance of inflation expectations since “ the state of inflation expectations greatly influences actual inflation “. More recently,Yellen (2016)also underscores the crucial role played by expectations while bemoaning the fact that t

9、he profession must confront gaps in our knowledge about the relationship between observed inflation and the short-run inflation expectations that lies at the heart of many theoretical macroeconomic models. It is not difficult to come across speeches by central bankers who, on a regular basis, touch

10、upon the subject of the formation and implications of inflation expectations.A main, but not sole, driver of inflation expectations is past inflation. At the risk of some over-simplification, inflation can be thought of as being driven by two sets of determinants, namely local or domestic factors ve

11、rsus international or global forces. The local determinants would include technical progress and changes in productivity, demographic factors, institutional considerations such as the adoption of inflation targeting and central bank independence and, since 2008, the adoption and maintenance of uncon

12、ventional monetary policies in systemically important economies. More generally, however, economists tend to make the distinction between aggregate demand and supply sources of changes in inflation pressure. In what follows, we retain this distinction to allow for greater comparability with the exta

13、nt literature as well as because it provides us with a vehicle to present new insights into the underlying drivers of inflation and ultimately about the likelihood that inflation expectations can be anchored.Globalization in both the trading of good and services and in finance is often also touted a

14、s a critical driver of the international component that influences domestic inflation rates. As a result, the extant literature has diverged wherein some argue that models of inflation are too nation centric (e.g.,Borio & Filardo, 2007;Ahmad & Civelli, 2016;Auer, Borio, & Filardo, 2017,Kabukuolu & M

15、artnez-Garca, 2018) while others place greater emphasis on the various local factors mentioned above.The current literature generally focuses on a homogeneous set of countries (e.g., advanced or emerging market economies; see the following section). We depart from this norm to consider 42 economies

16、that span a wide range in terms of their size, success at controlling inflation, monetary strategies in place, and the extent to which they were directly implicated or not in the GFC. To fully exploit the potential for cross-border spillovers in inflation we use the Global VARs (GVAR) methodology (P

17、esaran & Chudik, 2016). This methodology is well suited to address the domestic impact of changing inflation on expectations dynamics controlling for international spillovers through cross-border inter-linkages.Often, global factors are constructed using some indicator of trade openness to aggregate

18、 country-specific series. Nevertheless, there is disagreement about whether this is the appropriate vehicle to estimate global versus local influences on domestic inflation (e.g.,Kabukuolu & Martnez-Garca, 2018;Ahmad & Civelli, 2016). Instead, we propose a novel set of weights in estimating the GVAR

19、 obtained from the forecast error variance decompositions estimated via the methodology ofDiebold and Yilmaz (DY, 2009)developed to measure the degree of connectedness. Since the debate about local versus global determinants of inflation expectations partly centers around the extent to which countri

20、es are linked to each other the DY technique is a natural one to use in the present circumstances. Indeed, the foregoing combination of methodologies permits us to highlight two neglected aspects of the debate about what drives inflation and inflation expectations. First, that the relative importanc

21、e of local versus global factors is likely a function of the policy horizon. Second, the globalization of observed inflation is also reflected in a globalization of expected inflation. While the GVAR methodology provides a very rich set of potential shocks that may be analyzed, we focus on two sets

22、of shocks. They are: the impact of domestic aggregate demand and supply shocks on inflation and inflation expectations and the impact of a global oil price supply shock on these same two variables.Briefly, we find that inflation expectations respond positively to either domestic aggregate demand or

23、supply shocks, but the effects are generally temporary. This finding holds equally true for the post-crisis period. By contrast, if inflation accelerates due to a pick-up in global oil price inflation, inflation expectations respond significantly positive and effects are long lasting. The impact on

24、inflation is even larger than on inflation expectations. Hence, oil price shocks drive a wedge between inflation and inflation expectations even among professional forecasters. Nevertheless, actual inflation and inflation expectations tend to co-move closely and the pass-through has diminished in th

25、e aftermath of the crisis. Therefore, in an era where energy prices are volatile and are subject to large swings, this has implications for when and how aggressively monetary authorities ought to respond to oil price shocks. An additional important implication is that identifying the aggregate suppl

26、y from aggregate demand components of shocks is critical to understanding the dynamics of both observed and expected inflation.Literature reviewInflation expectations lie at the core of all macroeconomic models (e.g.,Woodford, 2003a). Moreover, to the extent that policy is able to influence these ex

27、pectations, understanding the connection with observed inflation remains an essential ingredient to evaluating the impact of monetary policy.Especially following the GFC, the debate surrounding the mechanism that best describes how expectations adjust in response to shocks, as well as what are the f

28、undamental drivers of inflation expectations, has been rekindled. The same is true of the companion literature that explores the dynamics and determinants of observed inflation. An era of ultra-low interest rates, combined with low inflation, has also contributed to reviving the study and debate abo

29、ut links between inflation and inflation expectations. Rational expectations serve as a convenient benchmark, in part because theoretical models are readily solvable and closed form solutions are typically feasible. However, when confronted with the empirical evidence, considerable differences of op

30、inion emerge about how best to describe the evolution of expectations. For example, an early assessment by the Bank of Japan of its Quantitative and Qualitative Easing program (QQE;Bank of Japan, 2016) finds that the Japanese are prone to adjusting inflation expectations more gradually than in other

31、 advanced economies (e.g., the US or the euro area). This is largely due to the backward-looking nature of these expectations. This also resonates somewhat with recent evidence from the US (e.g.,Trehan, 2015) and other economies both large and systemically important as well as ones that are small an

32、d open (e.g.,Bhatnagar etal., 2017).Of course, there may be several explanations for the sluggish adjustment of inflation expectations. Japan, after two decades or more of very low inflation to low deflation, sets this country apart from the remaining advanced economies which, over the same period,

33、experienced only passing bouts of deflation (early 2000s and in the aftermath of the 2007-8 global financial crisis).Since that time, below normal inflation rates have spread across much of the advanced world. Unsurprisingly, this has attracted the attention and the concern of policy makers. This represents a relatively new ele