欧洲央行-从伯南克-布兰查德模型看欧元区通货膨胀的财政来源（英）

Working Paper Series The fiscal sources of euro area inflation through the lens of the Bernanke-Blanchard model Dennis Bonam, Mariana Montserrat Cerra Pacheco, Cristina Checherita-Westphal 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 3153 AbstractWe estimate the contribution of discretionary fiscal policy measures to euro area infla-tion in the post-pandemic era using an extension of Bernanke and Blanchard (2024b)’ssemi-structural model. Since the pandemic, aggregate discretionary fiscal measureshad a modest yet progressively increasing positive contribution to inflation that partlyworked through an indirect effect on wage growth and inflation expectations. However,net indirect taxes helped to contain inflationary pressures, both during the pandemicand energy crises. Fiscal policy, therefore, can be a powerful tool to smooth the infla-tionary effects of adverse supply shocks, yet may also increase inflation persistence iffiscal stimulus is not timely withdrawn.JEL Classification: C5, E32, E47, E62Keywords: inflation, fiscal policy, semi-structural modelECB Working Paper Series No 31531Non-technical SummaryOn the backdrop of the surge in global inflation over the past years, this paper aims to providenew evidence on the contribution of discretionary fiscal policy measures to inflation in theeuro area, during and after the pandemic. To this end, we use the semi-structural modelfrom Bernanke and Blanchard (2024a) and we augment it with a measure that capturesdiscretionary fiscal policy changes as estimated by fiscal experts within the Eurosystem.The Bernanke-Blanchard model was originally built to investigate the drivers of US in-flation and consists of four equations describing the dynamics of wage growth, inflation,short-term inflation expectations and long-term inflation expectations. In their suggestionsfor further research and development of the model, the authors mention explicitly the incor-poration of fiscal policy, which is the focus of our paper.To start with, we estimate the model over the same sample, i.e. from 1999Q1 to 2023Q2,and using the same dataset that was used in the replication exercise of the Bernanke-Blanchard model for the euro area by Arce et al. (2024). We then augment the Bernanke-Blanchard model by including our series on euro area discretionary fiscal measures in boththe wage growth and inflation equations.As such, we allow for the possibility that thediscretionary fiscal measures taken by euro area governments have both a direct impact oninflation, e.g. through indirect taxes and subsidies, and an indirect effect through, for exam-ple, aggregate demand. We then conduct several robustness checks, such as extending thesample up to the latest available data, looking at the effects of disaggregated fiscal policymeasures, and using energy and food price series at cons