世界银行-全球通货膨胀的原因（英）-2023.12-56页.pdf

PolicyResearchWorkingPaper10648WhatExplainsGlobalInflationJongrimHaM.AyhanKoseFranziskaOhnsorgeHakanYilmazkudayDevelopmentEconomicsProspectsGroupDecember2023PublicDisclosureAuthorizedPublicDisclosureAuthorizedPublicDisclosureAuthorizedPublicDisclosureAuthorizedProducedbytheResearchSupportTeamAbstractoePolicyResearchWorkingPaperSeriesdisseminatesthelndingsofworkinprogresstoencouragetheexchangeofideasaboutdevelopmentissues.Anobjectiveoftheseriesistogetthelndingsoutquickly,evenifthepresentationsarelessthanfullypolished.oepaperscarrythenamesoftheauthorsandshouldbecitedaccordingly.oelndings,interpretations,andconclusionsexpressedinthispaperareentirelythoseoftheauthors.oeydonotnecessarilyrepresenttheviewsoftheInternationalBankforReconstructionandDevelopment/WorldBankanditsailiatedorganizations,orthoseoftheExecutiveDirectorsoftheWorldBankorthegovernmentstheyrepresent.PolicyResearchWorkingPaper10648Thispaperexaminesthedriversoffluctuationsinglobalinflation,definedasacommonfactoracrossmonthlyhead-lineconsumerpriceindex(CPI)inflationinG7countries,overthepasthalf-century.ItestimatesaFactor-AugmentedVectorAutoregressionmodelwhereawiderangeofshocks,includingglobaldemand,supply,oilprice,andinterestrateshocks,areidentifiedthroughnarrativesignrestric-tionsmotivatedbythepredictionsofasimpledynamicgeneralequilibriummodel.Theauthorsreportthreemainresults.First,oilpriceshocksfollowedbyglobaldemandshocksexplainedthelion’sshareofvariationinglobalinfla-tion.Second,thecontributionofglobaldemandandoilpriceshocksincreasedovertime,from56percentduring1970–1985to65percentduring2001–2022,whereastheimportanceofglobalsupplyshocksdeclined.Sincethepan-demic,globaldemandandoilpriceshockshaveaccountedformostofthevariationinglobalinflation.Finally,oilpriceshocksplayedamuchsmallerroleinglobalcoreCPIinflationvariation,forwhichglobalsupplyshockswerethemainsourceofvariation.Theseresultsarerobusttovari-oussensitivityexercises,includingalternativedefinitionsofglobalvariables,differentsamplesofcountries,andaddi-tionalnarrativerestrictions.ThispaperisaproductoftheProspectsGroup,DevelopmentEconomics.ItispartofalargereffortbytheWorldBanktoprovideopenaccesstoitsresearchandmakeacontributiontodevelopmentpolicydiscussionsaroundtheworld.PolicyResearchWorkingPapersarealsopostedontheWebathttp://www.worldbank.org/prwp.Theauthorsmaybecontactedatjongrimha@worldbank.org,akose@worldbank.org,fohnsorge@worldbank.org,andhyilmazk@fiu.edu.WhatExplainsGlobalInflationJongrimHa,M.AyhanKose,FranziskaOhnsorgeandHakanYilmazkuday∗Keywords:Oilprices;demandshocks;supplyshocks;interestrateshocks.JELClassification:E31,E32,Q43∗Ha:WorldBank,ProspectsGroup;jongrimha@worldbank.org.Kose:WorldBank,ProspectsGroup;BrookingsInstitution,CEPR,andCAMA;akose@worldbank.org.Ohnsorge:WorldBank,SouthAsiaRegion,CEPR,andCAMA;fohnsorge@worldbank.org.Yilmazkuday:FloridaInternationalUniversity;hyilmazk@fiu.edu.WewouldliketothankPierre-OlivierGourinchas,AndreiLevchenko,MircoMozzanica,FranzUlrichRuch,HillaryStein,participantsatthe2023IMFAnnual