Domestic and Global Determinants of Inflation: Evidence from Expectile Regression*
用期望回归方法估计菲利普斯曲线，分析欧元区核心通胀的国内和全球决定因素，发现国内产出缺口对通胀右尾影响更大，且全球因素影响随时间变化。
Abstract This paper investigates the role of domestic and global determinants of core inflation in the euro area. We analyse the entire conditional distribution of inflation by estimating a Phillips curve type relationship with the method of expectile regression, here extended to capture time‐varying effects. Both domestic and foreign output gap appear to drive euro area core inflation. Domestic output gap has a bigger influence in the right tail of the conditional distribution of inflation than in the left tail, providing evidence of nonlinearity of the Phillips curve. In a time‐varying perspective, we find an increase in the response of inflation to domestic gap at the lower quantiles and a higher pass‐through of foreign prices in all regions of the distribution. Overall, the evidence on the so‐called ‘globalization hypothesis’ is mixed as the impact of global slack on domestic inflation remained broadly stable over time.