2025-05-13-国际清算银行-通货膨胀周期_来自国际数据的证据（英）_39页_2mb

Inflation Cycle Analysis Summary

Key Findings:

• Stability of Inflation Cycles: The average length of inflation cycles is approximately 7 years, exhibiting remarkable stability across both advanced economies (AEs) and emerging market economies (EMEs) over time. About 55–100% of cycles have a duration between 3.5 and 9–11 years.

• Persistence in Recent Decades: Since 1985, the median amplitude of inflation cycles has dropped significantly from ~6.5% to 4.5% for EMEs and 4–3% for AEs, attributed in part to the adoption of inflation targeting regimes.

• Cross-Country Dynamics:

  • AEs are highly correlated (average correlation ~0.8 for AEs, and higher for detrended inflation during periods of elevated inflation).
  • EMEs show higher volatility and less stable correlation but increasing synchronization due to globalization.

• Regime-Based Approach (High vs. Low Inflation):

  • A simple heuristic detects high inflation periods when year-on-year inflation exceeds its 5-year moving average by 2 ppt and persists for at least 5 quarters.
  • Transition probabilities show that entering a high-inflation regime increases the probability of recession by 9–10 percentage points in the following year.

• High Inflation Effects: Cyclically high inflation leads to negative short-term economic consequences, increasing recession likelihood. High inflation regimes were rare between the 1920s and 1960s, only becoming common in the 1970s, particularly in EMEs.

Conclusion: Inflation cycle patterns remain relatively stable, but the amplitude has fallen notably since the 1980s. Cross-country synchronisation is increasing, suggesting global factors play an increasingly important role.