欧洲央行-通货膨胀对金融稳定的因果效应，历史证据（英）

Working Paper Series The causal effect of inflation on financial stability, evidence from history Ugo Albertazzi, James ’t Hooft, Lucas ter Steege 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 3108 Abstract.In contrast to the conventional Fisherian view that inflation reduces real debt po-sitions, we show that significant increases in inflation are strongly associated withfinancial crises. In the spirit of Jord`a et al. (2020), countries with free and fixed ex-change rates can be compared to difference out the confounding reaction of monetarypolicy. Across a dataset of 18 advanced economies over 151 years, we show that theimpact of inflation extends beyond its indirect effect via monetary policy. To furthercorroborate causality, we instrument inflation with oil supply shocks, finding that a1pp rise in inflation doubles the probability of financial crisis from its sample average.We give evidence for the redistribution channel, where inflationary shocks directly cutreal incomes, as a possible mechanism. In conjunction with recent literature on thedangers of rapidly tightening monetary policy, our results point to a difficult trade-offfor central banks once inflation has risen.JEL Classification: E31, E44, E58, G01Keywords: inflation, monetary policy, financial crises, oil supply, currency pegsECB Working Paper Series No 31081Non-technical summaryIt is often thought that large rises in inflation, like that of 2022, are dangerous for financialstability because they give rise to higher interest rates. There is a wide literature on themany patterns for rates that can distort the financial industry. However, there is littleattention given to how inflation itself may directly affect financial stability.Theoretically, it is possible that inflation improves solvency because it reduces the realvalue of debt. On the other hand, inflation may activate other potentially destabilisingchannels via its adverse redistributive and confidence effects, as well as by possibly inter-fering with the solidity of the banking sector. The causal effects of inflation on financialstability should therefore be assessed empirically. This paper does so and finds that in-creases to the annual inflation rate raise the probability of crisis.The methodology relies on a macro-financial historical dataset of 18 advanced economiesgoing back to 1870. A financial crisis is defined as a systemic banking crisis with multiplebank failures. A key empirical obstacle is that monetary policy, an important determinantof financial stability in the literature, reacts to inflation. This confounds estimates of in-flation’s direct effect. We overcome this by comparing financial stability outcomes amongcountries with free and fixed exchange rates. These countries share the same monetarypolicy shocks while facing potentially different condition