The Role of Global and Domestic Shocks for Inflation Dynamics: Evidence from Asia*
研究六个亚洲新兴经济体的通胀与产出关系，发现全球冲击主导通胀和产出波动，货币政策作用有限；国内冲击驱动的产出部分与通胀正相关，而全球需求冲击使菲利普斯曲线更陡峭。
This article studies inflation dynamics and the output–inflation trade‐off in small open economies. We estimate a series of VAR models for a set of six Asian emerging market economies, in which we identify a battery of domestic and global shocks using sign restrictions. We find that global shocks explain large parts of inflation and output dynamics. A series of counterfactuals support these findings and suggest that the role of monetary policy is limited. We estimate reduced‐form Phillips curve regressions based on alternative decompositions of output into global and domestic components. For most countries, we find a positive and significant correlation between inflation and the fraction of GDP driven by domestic shocks only. While including the output component driven by oil prices seems to ‘flatten’ the Phillips curve, though the effect is not significant, the component driven by global demand shocks ‘steepens’ the inflation–output nexus.