通货膨胀周期：来自国际数据的证据（英）

Inflation cycles: evidencefrom international data by Alberto Americo, Douglas KG Araujo, JohannesDamp, Sjur Nilsen, Daniel Rees, Rafael Schmidt andChristian Schmieder Monetary and Economic Department April 2025 JEL classification: E31, F44, C53, C55 Keywords:inflation cycles,business cycle,monetarypolicy BISWorking Papers are written by members of the Monetary and EconomicDepartment of the Bank for International Settlements, and from time to time by othereconomists, and are published by the Bank. The papers are on subjects of topicalinterest and are technical in character. The views expressed in them are those of theirauthors 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 bereproduced or translated provided the source is stated. Inflation cycles: evidence from international data1 Alberto Americo, Douglas Araujo, Johannes Damp, Sjur Nilsen, Daniel Rees, Rafael Schmidt, ChristianSchmieder Abstract We identify and document key stylised facts of inflation cycles for a large panel of advanced andemerging 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 intohigh and low inflation regimes. For each concept, we document key stylised facts within and acrosscountries and examine how these have evolved over time. We also show that the relationship betweeninflation and business cycles matters: entry in a high-inflation regime is associated with a significantlyhigher chance of a recession in the following quarters. A cross-country dataset with the inflation cycles ismade publicly available. Keywords: inflation cycles, business cycle, monetary policy JEL classification: E31, F44, C53, C55 1.Introduction Understanding inflation dynamics is of central importance to market participants, households, firms andcentral 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 consideration is to distinguish periods of low inflationfrom those when inflation is persistently higher, given that higher inflation can be self-reinforcing (BIS(2022, 2024)). The contribution of our paper is to introduce three complementary concepts of inflation cycles.The first one is the cycle measured in inflation levels, which reflects mainly medium- and long-termdevelopments. The second measure represents the deviation of inflation from its low-frequency trend,revealing shorter-term inflation dynamics. The third measure categorises inflation into a “high regime” anda “low regime”, based on a simple heuristic with empirical support for a broad range of countries. To thebest of our knowledge, this is the first cross-country endeavour to consistently apply different concepts ofinflation cycles to long time series across multiple advanced economies (AEs) and emerging marketeconomies (EMEs).2 These three inflation cycles concepts offer different policy-relevant insights. The cycles in inflationlevels correspond to the medium- to long-term frequencies over which inflation targets and expectationsare often measured.3And while this cycle measure does not explicitly model the underlying trend, it tendsto reflect it as the bulk of inflation volatility is due to long-term movements (eg Ascari and Sbordone(2014) and references therein). The second measure intuitively maps to theoretical models of inflationranging from the Phillips Curve to DSGE models (Hamilton (2018)). And the third measure serves as asummary statistic about the inflation regime, which tends to be self-reinforcing in the case of high inflation. We view our descriptive, long-term international perspective on inflation cycles as the nominalcounterpart to the concept of a “business cycle”, commonly used to describe the evolution of grossdomestic product (GDP) or broader economic developments. Our complementary working definitions ofinflation cycles mirror corresponding papers on business cycles (eg Wolla (2023)), with an importantdifference. For business cycles, the economically interesting aspects are oftendeviationsfrom growthtrends, such as the output gap or recessions. In contrast, the lower-frequency inflation dynamics itself alsooffers key policy-relevant insights. To this end, we analyse key patterns of long-dated inflation series of 14 advanced and 13emerging economies to establish stylised facts about inflation cycles. Some of the series start in the 1920s,and we have near-complete coverage from 1970 onward for the advanced economies. We find that theaverage peak-to-peak length of inflation cycles hovers around 7 years. This length is surprisingly stableover time and across countries, both i