供应冲击和通货膨胀：来自金融市场的及时见解

Supply shocks and inflation:timely insights from financial markets Maria Giulia Cassinis,Massimo FerrariMinesso, Ine Van Robays Disclaimer:Thispaper should not be reported as representing the views ofthe European Central Bank(ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. Abstract We 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, Inflation JEL Codes:C54, C58, E31, G12, G15. Non-Technical Summary In 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, impact on core inflation, as their effects are partly offset byslower economic growth. In contrast, global supply chain disruptions have the most per-sistent and broad-based effects, influencing multiple sectors and taking longer to resolve.These extended disruptions make it more challenging for inflation to return to targetlevels and demand more proactive and nuanced policy responses. Our study shows that central banks cannot treat all supply shocks the same. Whiletemporary energy price spikes can often be “looked through”, supply chain and labour-related disruptions might require more immediate and targeted interventions. By iden-tifying the sources of inflation pressure in near real time, the proposed framework givespolicymakers a tool to balance the goals of stabilizing inflation and supporting economicgrowth—especially during periods of economic turbulence like the Covid-19 pandemic. 1Introduction The surge in inflation experienced in the United States (US) during the aftermath of theCovid-19 pandemic reached levels not seen in decades, prompting urgent scrutiny of its un-derlying causes. Among the various contributing factors, supply shocks—stemming fromdisrupted global supply chains, labour shortages, and turmoil in energy markets—playeda critical role in driving prices higher (Ball et al., 2022; Blanchard and Bernanke, 2024;De Santis, 2024).Assessing the relative impact of these supply-side disturbances, asopposed to demand-driven pressures, became essential for policymakers to respond effec-tively. Accurate and timely identification of the primary inflation drivers was crucial toprevent policy missteps—such as premature tightening or excessive stimulus—that couldhave either exacerbated inflationary pressures or stall the economic recovery. This paperexamines the pivotal role of supply shocks in the recent inflationary episode and presentsa modelling framework to more promptly identify the drivers of US inflation, thereby sup-porting effective monetary policy. We do that by analysing the drivers of market-basedi