Isabel Schnabel-反通貨膨脹與菲利普斯曲線

ECB-CONFIDENTIAL

DisinfIationand

thePhiIIipscurve

·31August2023

lsabeISchnabeI,MemberoftheExecutiveBoardoftheECBConferenceon"lnfIation:DriversandDynamics2023"

l

70

60

50

40

30

Jan-21Nov-21Sep-22JuI-23

PM1neworhers

PM1ounpun

PM1consnrucnionounpun

a)Manufacturingb)Services

70

60

50

40

30

Jan-21Nov-21Sep-22JuI-23

SurveyspoinnnoweatereuroareakrownganhedpIoydenn

PMIactivityindicators

(hiffusioninhices)

PM1ounsnanhinkbusiness

Source:S&PGIobaI.

Lanesnobservanion:Aukusn2023.

PMIempIoyment

(hiffusioninhices)

ManufacnurinkServices

70

60

50

40

30

Jan-15Jun-16Nov-17Apr-19Sep-20Feb-22JuI-23

Source:S&PGIobaI.

Lanesnobservanion:Aukusn2023.

2

www.ecb.europa.euo

2

1

0

-1

-2

-3

-4

Fallingheadlineinflationandrisingwagesaresupportingconsumerconfidence

Consumerconfidence

(standardisedpercentagebalance)

Realdisposableincome

(index:Q42019=0,percentagesandpercentagepointcontributions)

Consumerconfidence

201520162017201820192020202120222023

Source:DG-ECFIN.

Notes:Theseriesisstandardisedovertheperiod1985-2019.

Latestobservation:August2023.

3

10

8

6

4

2

0

-2

-4

-6

-8

-10

-12

Termsoftrade

Directtaxes,socialcontributionsandtransfers

OperatingsurplusandpropertyincomeCompensationofemployees

Realdisposableincome

19Q420Q220Q421Q221Q422Q222Q4

Sources:EurostatandECBcalculations.

Notes:Disposableincomeisdeflatedwiththeprivateconsumptiondeflator,whereasits

componentsaredeflatedwiththeGDPdeflator."Termsoftrade"arecalculatedastheratioofGDPtotheprivateconsumptiondeflators.Formoredetails,seeDeSantisandStoevsky(2023).

Latestobservations:Q12023.

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Householdsforhousepurchase

Firms

7

6

5

4

3

2

1

0

1999200620132020

Newlendinghasdeclinedsharplyasinterestratesriseandcreditstandardstighten

Lendīnigtntno-īnancīaI-īrmsandhtusehtIds

(6-monthcumulatedflowsinEURbn,seasonallyadjusted)

FlowstoHHs

FlowstoNFCs

350

300

250

200

150

100

50

0

-50

-100

-150

350

300

250

200

150

100

50

0

-50

-100

-150

04201020162022

Jul-21Jul-22Jul-23

20

Sources:ECB(BSI)andECBcalculations.

Notes:Loansareadjustedforsales,securitisationandcashpooling.

Latestobservation:July2023.

4

Ctmptsīgectsgt-btrrtwīni

(percentagesperannum)

7

6

5

4

3

2

1

0

Jun-21Jun-22Jun-23

Sources:ECB(MIR)andECBcalculations.

Notes:Theindicatorforthetotalcostofbankborrowingforfirmsiscalculatedby

aggregatingshort-termandlong-termratesusinga24-monthmovingaverageofnewbusinessvolumes.

Latestobservation:June2023.

www.ecb.europa.euo

2021Q2

2021Q3

2021Q4

2022Q1

2022Q2

2022Q3

2022Q4

2023Q1

2023Q2

2023Q3

2021Q2

2021Q3

2021Q4

2022Q1

2022Q2

2022Q3

2022Q4

2023Q1

2023Q2

2023Q3

2021Q2

2021Q3

2021Q4

2022Q1

2022Q2

2022Q3

2022Q4

2023Q1

2023Q2

2023Q3

Higherinterestratesareakeyfactorcausingthedeclineinloandemand

DemandforIoanstofirms,househoIdsforhousepurchase

andconsumercredit

(netpercentagesofbanks)

InventoriesandworkingcapitalFixedinvestment

Useofalternativefinance

Otherfinancingneeds

Generallevelofinterestrates

Consumerconfidence

Housingmarketprospects

Demand-actual

Demand-expected

Consumptionexp.(realestate)

Spendingondurablegoods

60

40

20

0

-20

-40

-60

-80

-100

Firms

80

40

0

-40

-80

-120

-160

-200

Mortgages

40

20

0

-20

-40

-60

-80

-100

-120

Consumercredit

Source:ECB(July2023BankLendingSurvey).

Notes:Thenetpercentagereferstothedifferencebetweenthesumofthepercentagesfor"increasedconsiderably"and"increased

somewhat"andthesumofthepercentagesfor"decreasedsomewhat"and"decreasedconsiderably".

Latestobservation:2023Q2.

5

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Energyshockthreatenstoleavepermanentscarsintheeuroarea

Competitivepositionindomesticmarket

(percentagebalance)

Industrialproduction:manufacturingsector

(index:December2019=100)

ManufacturingChemicals

15

10

5

0

.5

.10

.15

19952002200920162023

Source:DG.ECFIN.

Latestobservation:Q32023.

6

TotalHensiveLensive

120

110

100

90

80

70

60

20192020202120222023

Sources:Eurostat,TradeDataMonitorandECBstaffcalculations.

Notes:Dataareseasonally.adjusted.Industrialproductionindicesforindividualsectorsareaggregatedwithvalue.addedweights.Low(high)ensitysectorsaredefinedas

thosewithanenergyintensitylower(higher)thanthatofthemediansector.Formore

details,seeChiacchio,DeSantis,GunnellaandLebastard(2023).

Latestobservation:June2023.

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22Q3-23Q2

23Q3-24Q2

22Q3-23Q2

23Q3-24Q2

Loandemand,allfirms

80

60

40

20

0

-20

Creditstandards,allfirms

80

60

40

20

0

-20

-40

Structuralfactorsmayhelpexplainresilienceofinvestmentinnewmachinerysofar

Constructionandmachineryinvestment

(y-o-ypercentagechange)

ConstructioninvestmentMachineryinvestment

9

8

7

6

5

4

3

2

1

0

-1

21Q321Q422Q122Q222Q322Q423Q1

Source:Eurostat.

Latestobservations:Q12023.

7

Impactofclimatechangeon

creditstandardsandloandemand

(netpercentageofbanks;overthepastandnexttwelvemonths)

Climate-related

Loanstofossil-fuelintensivefirms

fiscalsupport

Loanstogreenfirms

Issuanceofgreen

Loanstofirmsintransition

corporatebondsFixedinv.and

corp.restructuringLoandemand

125

100

75

50

25

0

22Q3-23Q2

23Q3-24Q2

Source:ECB(July2023BankLendingSurvey).

Notes:"Greenfirms":firmsthatdonotcontribute,orcontributelittle,toclimatechange;"Firmsin

transition":firmsthatcontributetoclimatechangebutaremakingrelevantprogressinthetransition;

"Fossil-fuelintensivefirms":firmsthatcontributestronglytoclimatechange,andhavenotyet

started,orhavesofarmadeonlylittleprogress,inthetransition.Netpercentagesaredefinedas

thedifferencebetweenthepercentagesofbanksreporting"contributedconsiderably/somewhattotightening"andthepercentagesofbanksreporting"contributedsomewhat/considerablytoeasing".Latestobservation:2023Q2.www.ecb.europa.euo

Underlyinginflationmeasurespointindifferentdirectionsandremaintoohigh

UnderIyinginfIationmeasures

(annualpercentagechanges)

Domestic

H1CPX

Underlyinginflation

8

6

4

2

0

8

6

4

2

0

Measurescleanedfrom

shockslinkedtoenergyand

supply-sidebottlenecks

Oct-22Jan-23Apr-23Jul-23

Oct-22Jan-23Apr-23Jul-23

Sources:Eurostat,ECBcalculations.

Notes:AdjustmentsbasedonBahbura,M.,Bobeica,E.andMartinezHernandez,C.,"Whatdrivescoreinflation?Theroleofsupplyshocks"(forthcoming)usingalargeBVARmodelaccountingformanydriversofinflation

(17variables),identifiedwithzeroandsignrestrictionsandestimatedfromJanuary1995toJune2023.

Latestobservation:July2023.

8

InfIationmomentumfor

HICPX,goodsandservices

(annualpercentagechanges,annualized3m-on-3mpercentagechanges)

Momentum

H1CPX

8

6

4

2

0

Jan-22Jul-22Jan-23Jul-2

Momentum

NE1G

8

6

4

2

0

8

4

2

Momentum

Services

6

0

Jan-22Jul-22Jan-23Jul-23

Jan-22Jul-22Jan-23Jul-23

Sources:Eurostat,ECBcalculations.

Notes:Momentumisdefinedasannualised3months-on-3monthsratesofseasonallyadjusteddata.H1CPX,NE1G

andservicesarenon-seasonallyadjusted.

Latestobservation:July2023.

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Firmschangetheirpricesmorefrequentlywhenfacedwithlargecost-pushshocks

Frequencyofpriceadjustmentin1taIy

(shareofitemswithapricechangecomparedtopreviousmonth)

1ncreasesDecreases

0.10

0.08

0.06

0.04

0.02

0.00

201720182019202020212022Dec-22

Sources:1statandBancad'1taliastaffcalculations.

Notes:Statisticscomputedexcludingtemporarysales.

Latestobservation:December2022.

9

Evidenceofstatedependence:

repricingprobabiIityasfunctionofpricegap

(%)

Euroarea

UnitedStates

50

40

30

20

10

0

50

40

30

20

10

0

-50-40-30-20-1001020304050

Pricegap

Source:Karadi,P.,J.Amann,J.S.Bachiller,P.SeilerandJ.Wursten(forthcoming),"PricesettingonthetwosidesoftheAtlantic-Evidencefromsupermarketscannerdata",JournalofMonetaryEconomics.

Notes:ThefigureshowstheprobabilityofapricechangeasafunctionofmispricingintheeuroareaandtheUnitedStates.TheV-shapeofthecurveisconsistentwithstate-dependentpricesetting:theprobabilityofadjustmentsteadilyincreaseswiththeextentofmispricing.Theextentofmispricingisproxiedasadistancefromtheaveragepriceofthesameproductamongthosecompetitorsthatresettheirpricesinthesamemonth.Themeasurealsocontrolsforthepersistentheterogeneityamongproductsandstoresbyeliminatingtheimpactofproduct-store

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fixedeffects.Additionaldetailsonthemethodologyareavailableinthepaper.

70

50

40

10

20222023

20222023

Fewfirmsintendtocutpricesalthoughinputcostsarefallingrapidly

Sellingpriceexpectations

(shareoffirmsexpectinglower/highersellingprices)

LowerHigher

70

60

50

40

30

20

10

0

2023

2022

ManufacturingRetailServices

Sources:EuropeanCommission(includingEurostat).

Notes:Dataarenon-seasonallyadjusted.

Latestobservation:August2023.

Producerandimportpriceinflation

(annualpercentagechanges)

PP11mportprices

50

40

30

20

10

0

-10

-20

Jan-20Jan-21Jan-22Jan-23

Sources:Eurostat.

Notes:PP1andimportpricesrefertototalindustryexcludingconstruction.

Latestobservation:June2023.

10

www.ecb.europa.eu◎

AsteeperPhillipscurveraiseshopesofa"softlanding"

LabourasfactorIimitingproduction

(%)

PhiIIipscurve

(y-axis:HICPXannualrateofchange;

x-axis:vacancytounemploymentratio)

IndustryServices

40

35

30

25

20

l5

l0

5

0

85Ql90Ql95Ql00Ql05Qll0Qll5Ql20Ql23Q2

6

5

4

3

2

l

0

2

023Q2

2

006Ql

00.l0.20.30.4

Source:EuropeanCommission.

Latestobservation:2023Q2.

ll

Sources:HaverAnalytics,Eurostat,Indeed,andECBStaffcalculations.

Notes:The2023Q2vacancytounemploymentratioisbasedonIndeed

vacancies.

Latestobservation:2023Q2.

www.ecb.europa.eu◎

lnflationrisSprekiaarerisinmdespiteelevatedexpectationsofrecession

Market-basedinfIationcompensationandrecessionprobabiIityintheeuroarea

lyin2yforwardlLS(%p.a.)

3.0

2.5

2.0

l.5

l.0

0.5

0.0

2

20l3-2022

2023

Trend20l3-202

Trend2023

020406080l00

Recessionprobability(%)

Sources:DeutscheBundesbanS,FenicsMarSetDataandGerkanCouncilofEconokicExperts.

Notes:Estikatedrecessionprobabilitybasedonthel0-yearand3-konthBundterk

spread,adjustedfortheikpactoftheEurosystek,sassetpurchasesonthel0-yearyield.

l2

ModeI-baseddecompositionofeuroarea

infIation-Iinkedswaprates

2.8

2.5

2.2

l.9

l.6

l.3

l.0

(percentames)

ly2yrisSprekiacokponent(rhs)—ly2yexpectationcokponent

ly2yfitted

l.5

l.2

0.9

0.6

0.3

0.0

-0.3

Jan-22Jul-22Jan-23Jul-23

Sources:RefinitivandECBcalculations.

Notes:Prekia-adjustedforwardlLSratesareaverameestikatesfroktwoaffineterkstructurekodelsasinJoslin,SinmletonandZhu(20ll)appliedtolLSratesnon-adjustedfortheindexationlam;seeBurbanetal.(2022),ECBEconokicBulletinlssue8,202l,Box4.lnflationcokpensationratesrefertoalinearinterpolationbetweenfixinmsandl-yearforward.Latestobservation:29Aumust2023.

www.ecb.europa.euo

32l0-l-2-3-4-5

32 l0-l-2-3-4

-5

SofartheriseinreaIratesmainIyremovedpoIicyaccommodationaccordingtomarkets

Market-basedestimateofmonetarypoIicystance

(percentages)

2020202l20222023

lyreaIOIS(R)

R-R*

ly9yreaIOIS(R*)

05200820ll20l420l720202023

20

Sources:BIoombergandECBcaIcuIations.

Notes:"R"ismeasuredbythereaIl-yearOISrateandR*ismeasuredbythereaIly9yOISrate.TermpremiahavebeenremovedfrombothRandR*toshow"genuine"reaIrates.

Latestobservation:August2023(monthIydata).

l3

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Uncertaintyaboutinflationoutlookremainsexceptionallyhigh

SurveyofProfessionalForecasters:

uncertaintyaroundtwo-yearaheadinflationexpectations

(percentagepoints)

Disagreement

Individualuncertainty

Aggregateuncertainty

Historicalaverageofdisagreement

Historicalaverageofindividualuncertainty

Historicalaverageofaggregateuncertainty

l.4l.2l.00.80.60.40.20.0

l.4

l.2

l.0

0.8

0.6

0.4

0.2

0.0

Jan-2lJan-22Jan-23

0l2004200720l020l320l620l92022

20

Sources:SPFandECBcalculations.

Notes:Aggregateuncertaintyismeasuredbythestandarddeviationoftheaggregateprobabilitydistribution,whichisafunctionofdisagreement(measuredbythestandarddeviationoftheindividualforecasts)andaverageindividualuncertainty(measuredbytheaverageofthestandarddeviationsoftheindividualprobabilitydistributions).Dashedlinesrepresenthistoricalaverages,calculatedoverthesamplefroml999Ql-2023Q3.

Latestobservation:Q32023SPF.

l4

www.ecb.europa.euo

l7.0l6.8l6.6l6.4l6.2l6.0l5.8l5.6l5.4

l5.2

CIimatecrisisismoreurgentthanever,posingupsideriskstoinfIation

GIobaIsurfaceairtemperature

(in。C)

SeIectedfoodcommodityprices

(index:20l8=l00)

l940l960l98020002020

Sources:ERA5,ECMWF,CopernicusProgramme.

Notes:AnomaIiesarecaIcuIatedreIativetoJuIyaverageduringl99l-2020referenceperiod(l6.23。C).ShadesofbIueshowbeIow-averageyears,shadesofredshowabove-averageyears.Latestobservation:JuIy2023(monthIy).

l5

RiceOIiveoiI

300

250

200

l50

l00

50

0

20l820l92020202l20222023

Sources:HWWI,HaverandECBcaIcuIations.

Notes:RicepricesarebasedonWhiteThaiLongGrain,l00%Broken(fob)andoIiveoiIisbasedonOIiveOiI,ItaIy(CIF):

Latestobservation:25August2023(weekIy).

www.ecb.europa.euo

ProfessionaIforecastersseeriskstomedium-terminfIationtiItedtotheupside

SurveyofProfessionalForecasters:

balanceofriskindicatorfortwo-yearaheadinflationexpectations

(percentagepoints)

BaIanceofriskindicator

0.l50.l20.090.060.030.00-0.03-0.06-0.09-0.l2

-0.l5

0.l5

0.l2

0.09

0.06

0.03

0.00

-0.03

-0.06

-0.09

-0.l2

-0.l5

0l2004200720l020l320l620l92022

Jan-2lJan-22Jan-23

20

Sources:SPFandECBcaIcuIations.

Notes:ThebaIanceofriskindicatoriscaIcuIatedastheestimatedmeanoftheaggregatedistributionminustheaveragereportedpointe