国际清算银行-通货膨胀周期：来自国际数据的证据（英）

BIS Working Papers No 1264 Inflation cycles: evidence from international data by Alberto Americo, Douglas K G Araujo, Johannes Damp, Sjur Nilsen, Daniel Rees, Rafael Schmidt and Christian Schmieder Monetary and Economic Department April 2025 JEL classification: E31, F44, C53, C55 Keywords: inflation cycles, business cycle, monetary policy BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements, and from time to time by other economists, and are published by the Bank. The papers are on subjects of topical interest and are technical in character. The views expressed in them are those of their authors and not necessarily the views of the BIS. This publication is available on the BIS website (www.bis.org). © Bank for International Settlements 2025. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISSN 1020-0959 (print) ISSN 1682-7678 (online) Inflation cycles: evidence from international data 1 Inflation cycles: evidence from international data1 Alberto Americo, Douglas Araujo, Johannes Damp, Sjur Nilsen, Daniel Rees, Rafael Schmidt, Christian Schmieder Abstract We identify and document key stylised facts of inflation cycles for a large panel of advanced and emerging market economies. To this end, we propose three complementary inflation cycle concepts: (1) cycles in inflation levels, reflecting mostly the low- and medium-frequency components of inflation; (2) cycles in higher-frequency deviation of inflation from its trend; and (3) a categorisation of inflation into high and low inflation regimes. For each concept, we document key stylised facts within and across countries and examine how these have evolved over time. We also show that the relationship between inflation and business cycles matters: entry in a high-inflation regime is associated with a significantly higher chance of a recession in the following quarters. A cross-country dataset with the inflation cycles is made publicly available. Keywords: inflation cycles, business cycle, monetary policy JEL classification: E31, F44, C53, C55 1 Alberto, Douglas, Johannes, Daniel, Rafael and Christian are affiliated with the Bank for International Settlements. Sjur is affiliated with the Norges Bank. The authors are thankful to Claudio Borio, Julián Caballero, Ben Cohen, Georg Junge and Dubravko Mihajlek for useful comments and suggestions. All errors are our own. The opinions in this paper do not necessarily reflect the views of the Bank for International Settlements or of the Norges Bank. 2 Inflation cycles: evidence from international data 1.IntroductionUnderstanding inflation dynamics is of central importance to market participants, households, firms and central banks. The outlook for inflation is an important factor in economic decision-making in its own right, and also influences other economic variables. A key consideratio