欧洲央行-供应冲击和通货膨胀：来自金融市场的及时见解（英）

Working Paper Series Supply shocks and inflation: timely insights from financial markets Maria Giulia Cassinis, Massimo Ferrari Minesso, Ine Van Robays Disclaimer: This paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. No 3096 AbstractWe introduce a mixed-frequency model that identifies the impact of supply shockson inflation in the United States in real time. The model decomposes weekly move-ments in inflation-linked swap rates—market-based inflation expectations—and iso-lates three supply shocks: global value chain disruptions, energy supply shocks,and domestic supply constraints, separating them from demand-driven factors. Weshow how these shocks contributed to a post-Covid feedback loop that intensifiedinflation. By linking weekly shocks to monthly inflation components up to the in-dustry level, we find that global value chain disruptions generate the most persistentand broad-based price pressures, while energy and domestic supply shocks tend toproduce more transitory effects, as their narrower inflationary impact is more easilyoffset by demand-dampening, contractionary forces. Our model captures these var-ious supply-side dynamics effectively and offers timely insights to support a moreresponsive monetary policy.Keywords: Supply Shocks, Mixed-frequency VAR, InflationJEL Codes: C54, C58, E31, G12, G15.ECB Working Paper Series No 30961Non-Technical SummaryIn the wake of the Covid-19 pandemic, inflation in the United States rose to levels not seenin decades. Understanding the causes of this inflation surge was crucial for policymakers,as mistimed or misdirected actions—such as raising interest rates too soon or maintainingtoo much stimulus—could have stalled the economic recovery. This paper focuses on onemajor source of inflation during this time: supply shocks. These include disruptions inglobal supply chains, shortages in the labour market, and volatility in energy markets.To help policymakers respond more effectively, the paper introduces a new analyti-cal framework that tracks inflation drivers on a weekly basis using market-based mea-sures—specifically, inflation-linked swap (ILS) rates. These financial instruments offerreal-time insights into inflation expectations and tend to be more responsive than tradi-tional surveys. The framework combines fast-moving financial data with slower-movingeconomic indicators to identify five key drivers of inflation: two related to demand (over-all economic demand and monetary policy) and three related to supply (global supplychain disruptions, energy shocks, and domestic supply constraints).The findings show that different types of supply shocks affect inflation in very differ-ent ways. Energy shocks tend to be short-lived and mostly affect the energy componentof consumer prices. Domestic supply shocks—often linked to labour shortages—have astronger, albeit temporary, im