Econ Papers Daily / 期刊论文
供给冲击与通胀：来自金融市场的及时洞察
Supply shocks and inflation: Timely insights from financial markets
摘要
We introduce a mixed-frequency model that identifies supply shocks in the United States in quasi-real time. The model decomposes weekly movements in inflation-linked swap rates—market-based inflation expectations—and isolates three supply shocks: global value chain disruptions, energy supply shocks, and domestic supply constraints, separating them from demand-driven factors. We show how these shocks contributed to a post-Covid feedback loop that intensified price reactions. By linking weekly shocks to monthly inflation components up to the industry level, we find that global value chain disruptions generate the most persistent and broad-based price pressures, while energy and domestic supply shocks tend to produce more transitory effects, as their narrower inflationary impact is more easily offset by demand-dampening, contractionary forces. Our model captures these various supply-side dynamics effectively and offers timely insights to support a more responsive monetary policy.
中文摘要
我们构建了一个混合频率模型，能够准实时识别美国的供给冲击。该模型对通胀挂钩互换利率——基于市场的通胀预期——的周度变动进行分解，并分离出三种供给冲击：全球价值链中断、能源供给冲击和国内供给约束，将其与需求驱动因素区分开来。我们展示了这些冲击如何促成了一个后新冠疫情时期的反馈循环，从而加剧了价格反应。通过将周度冲击与月度通胀分项（细化至行业层面）相联系，我们发现全球价值链中断产生的价格压力最为持久且覆盖面最广，而能源和国内供给冲击往往产生更为短暂的影响，因为其较窄的通胀效应更容易被抑制需求的紧缩性力量所抵消。我们的模型有效捕捉了这些不同的供给侧动态，并为支持更具响应性的货币政策提供了及时洞见。