前沿速递|NBER、IMF最新工作论文一览（No.2440）

为更快更好地向广大学术爱好者及宏观金融领域研究者提供最新研究成果，“大金融思想”推出全新栏目——“NBER、IMF最新工作论文一览”，每周更新一期，汇集NBER、IMF最新发布的宏观金融领域论文，以飨读者。

本期论文搜索范围：2024.10.22-2024.10.28

  Authors  

Jing Cynthia Wu, Yinxi Xie & Ji Zhang

  Series   

【 Working Papers No.33044】

  DOI  

  10.3386/w33044

  Issue Date  

October 2024

   Abstract   

We assess whether unconventional monetary and fiscal policy implemented in response to the COVID-19 pandemic contribute to the 2021-2023 inflation surge through the lens of several different empirical methodologies—eventstudies, vector autoregressions, and regional panel regressions using granular data—and establish a null result. The key economic mechanism works through a disinflationary channel in the Phillips curve while monetary and fiscal stimuli put positive pressure on inflation through the usual demand channel. We illustrate this negative supply-side channel both theoretically and empirically.

我们通过几种不同的实证方法——事件研究、向量自回归和地区面板回归——来评估为应对COVID-19大流行而实施的非常规货币和财政政策是否促成了 2021-2023 年的通胀激增，并得出了一个无效结果。其关键的机制是通过菲利普斯曲线中的通货紧缩渠道发挥作用，而货币和财政刺激则通过通常的需求渠道对通胀施加正压力。

  Authors  

Kenneth S. Rogoff, Barbara Rossi & Paul Schmelzing

  Series  

【 Working Papers No. 33079】

  DOI  

  10.3386/w 33079

  Issue Date  

October 2024

   Abstract   

Utilizing critical recent data advances, we analyze empirical evidence on long-run samples of short-maturity real interest rates as well as term spreads based on multi-century data. In contrast to an extensive literature on short-maturity real interest rates over the past few decades, we find strong and consistent evidence of trend stationarity in long horizon series, relatively fast adjustment speeds, and a paucity of structural breaks – results that we show to survive out of sample tests. The use of very long-run data offers a fresh perspective for ongoing monetary policy debates surrounding r*, and also provides a crucial missing link to reconstructing the long-run properties of term spreads. On balance and against limited post-COVID data, our evidence suggests caution on the idea of a break in short-term real interest rate behavior and instead points to elements of continuity over very long time periods. Relatedly, we show that term spreads are secularly rising while inflation volatility trends in the exact opposite direction – a finding questioning the emphasis of influential term structure models.

我们利用近期的重要数据进展，分析了基于多世纪数据的短期实际利率和期限利差长期样本的经验证据。与过去几十年有关短期实际利率的大量文献相比，我们发现了长期序列中趋势平稳性、相对较快的调整速度和结构性断裂的有力且一致的证据——我们表明这些结果经得起样本外检验。长期数据的使用为当前围绕r*的货币政策辩论提供了一个全新的视角，也为重建期限利差的长期属性提供了一个关键的缺失环节。总的来说，针对有限的后 COVID数据，我们的证据表明要谨慎对待短期实际利率行为中断的观点，而应指出在很长一段时间内的连续性因素。与此相关的是，我们发现期限利差呈周期性上升趋势，而通胀波动的趋势恰恰相反——这一发现对有影响力的期限结构模型的重点提出了质疑。

  Authors  

Pierpaolo Benigno & Gauti B. Eggertsson

  Series  

【 Working Papers No. 33095】

  DOI  

  10.3386/w 33095

  Issue Date  

October 2024

   Abstract   

This paper reexamines the Phillips and Beveridge curves to explain the inflation surge in the U.S. during the 2020s. We argue that the pre-surge consensus regarding both curves requires substantial revision. We propose that the Inverse-L (INV-L) New Keynesian Phillips Curve replace the standard New Keynesian Phillips Curve. The INV-L curve is piecewise-linear and more sensitive to labor market conditions when it crosses the Beveridge threshold — a point at which the labor market becomes excessively tight and enters a "labor shortage" regime. We introduce a modified Beveridge curve that features a near-vertical slope once the Beveridge threshold is passed, suggesting that in this region, adjustment in labor market tightness occurs almost exclusively through a drop in vacancies rather than an increase in unemployment. This feature matches the U.S. experience since the Federal Reserve's tightening cycle began in March 2022. We also observe a similar pattern in the data during five other inflation surges over the past 111 years where the Beveridge threshold was breached. We define a Beveridge-threshold (BT) unemployment rate. Once unemployment falls below this rate, policymakers must be alert to sharp inflationary pressures from demand or supply shocks. We explore several policy implications.

本文重新审视了菲利普斯曲线和贝弗里奇曲线，以解释 2020 年代美国通胀飙升的原因。我们认为，通胀飙升前关于这两条曲线的共识需要进行重大修正。我们建议用INV-L新凯恩斯主义菲利普斯曲线取代标准新凯恩斯主义菲利普斯曲线。INV-L曲线是片断线性的，在跨越贝弗里奇临界点时对劳动力市场状况更为敏感，在此临界点，劳动力市场变得过度紧张，进入 “劳动力短缺 ”状态。我们引入了修正后的贝弗里奇曲线，一旦超过贝弗里奇临界点，该曲线的斜率接近垂直，这表明在该地区，劳动力市场紧缺程度的调整几乎完全是通过职位空缺的减少而不是失业率的增加来实现的。这一特征与美国自 2022 年 3 月美联储开始紧缩周期以来的经验相吻合。我们还从数据中观察到，在过去 111 年中，还有五次通胀激增突破了贝弗里奇阈值，也出现了类似的模式。我们定义了贝弗里奇门槛（BT）失业率。一旦失业率低于这一比率，政策制定者就必须警惕需求或供给冲击带来的急剧通胀压力。我们探讨了若干政策影响。

  Authors  

Jorge Miranda-Pinto, Andrea Pescatori, Martin Stuermer, Xueliang Wang

  Series  

【Working Paper No. 2024/215】

  Publication Date  

October 22, 2024

   Abstract  

We examine the role of metals as economic inputs by using a production network model, calibrated for various countries using input-output (I-O) tables. Empirically, we employ local projections to study how metal shocks influence inflation, testing country-level heterogeneity in the sensitivity to these shocks. Our findings indicate that metals price shocks have significant and persistent effects on core and headline inflation, with particularly pronounced effects on countries that are highly exposed to metals in their production networks. This is in contrasts to oil supply shocks, which predominantly affect headline inflation. A shift of the global economy towards a higher relative metals intensity due to the energy transition could lead to commodity price shocks increasingly influencing core rather than headline inflation. This could make commodity price shocks less visible on impact but more persistent. Central banks should consider this shift when assessing inflation dynamics and risks.

我们采用实证方法和基于模型的模拟相结合的方法，重点关注欧洲央行实施的利率和资产负债表政策的溢出效应，为欧洲央行货币政策冲击对欧洲新兴经济体的溢出效应提供了新的证据。我们围绕欧洲央行在2022年6月宣布的政策进行了事件研究，并使用本地预测来估算1999年至2022年期间16个新兴欧洲国家的区域溢出效应。我们将欧洲央行的货币政策冲击识别为三个月欧洲银行间同业拆借利率（Euribor）期货利率变化中无法解释的部分，发现欧洲央行的货币政策紧缩会导致新兴欧洲国家的政府债券收益率发生超过一比一的变化，并导致主权利差大幅上升、本币贬值和产出显著下降。使用以欧元区及其东欧邻国为校准对象的两国DSGE模型模拟显示，与资产负债表紧缩相比，通过提高利率实现的常规紧缩能提供更有利的通胀-产出权衡。量化紧缩的溢出效应程度取决于资产负债表缩减的速度，在固定汇率制度下溢出效应更大。