IMF-保加利亚的通货膨胀动态：政策的作用（英）-2023.10_市场营销策划_重点报告202301.docx

INTERNATIONA1MONETARYFUNDInf1ationDynamicsinBu1garia:TheRo1eofPo1iciesAnhDinhMinhNguyen,HajimeTakizawa,andIg1ikaVassi1evaWP/23/212IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepub1ishedtoe1icitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessari1yrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.WoRK-NGPAPER2023SEPWP/23/212©2023Internationa1MonetaryFundIMFWorkingPaperEuropeanDepartmentInf1ationDynamicsinBu1garia:TheRo1eofPo1iciesPreparedbyAnhDinhMinhNguyen,HajimeTakizawa,andIg1ikaVassi1evaAuthorizedfordistributionbyJean-FranqoisDauphinSeptember2023IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepub1ishedtoe1icitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessari1yrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.ABSTRACT:Thispaperana1ysesinf1ationdynamicsinBu1gariausingdifferentcomp1ementaryeconometricstechnics.Wefindthatcommonfactorsp1aya1argero1eintheEU,sinf1ationvariationbutimpactindividua1countriesdifferent1yduetountry-specificfactors.GreaterweightofenergyandfoodinBu1garia'sCPIbasketamp1ifiestheimpactofshocksonhead1ineinf1ation.Furthermore,second-roundeffectsinBu1gariaare1ike1ypronounced,associatedwithahigherinf1ationpersistencecomparedtotheEUcountries.RecentECBmonetarytighteninghasbeeninsufficientforBu1gariaanditstransmissionisweak.Fisca1po1icysupportedtherecoveryfromtheCOVIDcrisisbutaddedtoinf1ation.RECOMMENDEDCITATION:AnhDinhMinhNguyen,HajimeTakizawaandIg1ikaVassi1eva2023."Inf1ationDynamicsinBu1garia:TheRo1eofPo1icies",IMFWorkingPaperNo.2023/212.JE1C1assificationNumbers:E31,E62,E52Inf1ation;Monetarypo1icy;Fisca1po1icy;ECBinterestrates;Phi11ipscurve;Principa1ComponentAna1ysis;VARISignrestrictions.Author'sE-Mai1Address:anauven3imf.ora:htakizawaimf.ora;andivassi1evaimf.ora*Theauthorswou1d1iketothankJean-FranQoisDauphinforthesuggestionsandsupporttothisproject.Theyaregratefu1forusefu1commentsfromChikakoBaba,Isabe1aFerreiraDuarte,SebastianWeber,GenetZinabou,BorjaGracia,theBu1garianNationa1Bank,theBu1garianMinistryofFinance,participantstoanEURSeminar.Theya1sothankSabihaSubahMohona,TinaKang,andHannahPJungforexce11entsupport.WORKINGPAPERSInf1ationDynamicsinBu1garia:TheRo1eofPo1iciesPreparedbyAnhDinhMinhNguyen,HajimeTakizawa,andIg1ikaVassi1evaContentsI.Introducbon4.SE1ECTED1ITERATUREREVIEW5I.RECENTINF1AONDEVE1OPMENTSINBU1GARIA6IV. CONTRIBUTINGFACTORS8V. RO1EOFPO1ICIES15VI. CONC1USION23REFERENCES28FIGURES1. Inf1ationinEUCountries62. MaastrichtCriteriononInf1ation63. G1oba1FoodandEnergyPrices74. ProducerandConsumerPricesinBu1garia75. ContributiontoAnnua1HICPInf1ationbyCommodityGroupsinBu1gariaandEU76. Inf1ationinUnprocessedandProcessedFoodandCoreInf1ationinBu1gariaandEU87. HistogramoftheBi1atera1Corre1ationsoftheNationa1Inf1ationRatesintheEU98. DecompositionofHead1ineandCoreInf1ationinBu1gariabyCommonandCountry-Specific109. Factor1oadingsintheFirstPrincipa1ComponentforHead1ineandCoreInf1ation1110. Factor1oadingsintheFirstPrincipa1ComponentforHead1ineandCoreInf1ation1111. Bu1garia:DecompositionofGDPDef1ator1112. Bu1garia:Coreinf1ation(exc.Taxes)and1213. DifferenceBetweenECBPo1icyRateandTay1orRu1e-Imp1iedInterestRate1514. ECBPo1icyRateandCostsofFunding1615. Bu1garia:BankingSector1iquidityandInterestRatesonHouseho1dDeposits1616. InterestRateson1oanstoNonfinancia1Corporations1717. BankInterestRateonNewMortgages1718. Fisca1Stancein2023andInf1ationin2023inEUCountries1819. Impu1seResponsetoaOne-Standard-DeviationExpansionaryFisca1Shock1920. ForecastErrorsVarianceDecompositionofInf1ation2021. ADecompositionofRecentOutputGrowthandInf1ationDynamics2122. ADecompositionofInf1ationDynamicsinanExtendedMode122TAB1ES1. DecompositionoftheContributionofMajorProductGroupstoInf1ationinBu1gariaandEUinJu1y202382. EstimatedPhi11ipsCurve143. Tay1orRu1eParameters16REFERENCES28ANNEXESI.Phi11ipsCurveEstimates-Extension24.VARMode125III.SensitivityAna1yses26I. Introduction,Inf1ationisa1waysandeverywhereamonetaryphenomenori'Mi1tonFriedman,1963"Persistentinf1ationisa1waysandeverywhereafisca1phenomenori'ThomasSargent,2013Inf1ationinBu1gariapeakedabove15percentin2023,markingitshighest1eve1since2000andhasbeenre1ative1ypersistent,fadingawayon1ygradua11yoversubsequentperiods.Thesuddenriseininf1ationafterbeing1owandstab1efor1ongwasnot1imitedtoBu1garia.Itaffectedmanycountriesaroundtheg1obe,bothadvancedeconomiesandemergingmarkets.Againstthisg1oba1backdrop,thispaperexp1oresthedriversandcharacteristicsofrecentinf1ationdynamicsinBu1garia.Questionsinc1ude:(1)aretherecountryspecificfactorsgiventheseeming1yg1oba1natureofinf1ation?(2)howpersistentistheinf1ationdynamicsinBu1garia?and(3)didpo1icycontributetotherecentsurgeininf1ation,asinspiredbythequotesofFriedmanandSargent?Addressingthesequestionswou1dhe1pinformpo1iciesformanaginginf1ationaryrisks,aparticu1