Template-Type: ReDIF-Paper 1.0
Author-Name: Alberto Americo
Author-X-Name-First: Alberto
Author-X-Name-Last: Americo
Author-Name: Douglas Kiarelly Godoy de Araujo
Author-X-Name-First: Douglas
Author-X-Name-Last: Kiarelly Godoy de Araujo
Author-Name: Johannes Damp
Author-X-Name-First: Johannes
Author-X-Name-Last: Damp
Author-Name: Sjur Nilsen
Author-X-Name-First: Sjur
Author-X-Name-Last: Nilsen
Author-Name: Daniel Rees
Author-X-Name-First: Daniel
Author-X-Name-Last: Rees
Author-Name: Rafael Schmidt
Author-X-Name-First: Rafael
Author-X-Name-Last: Schmidt
Author-Name: Christian Schmieder
Author-X-Name-First: Christian
Author-X-Name-Last: Schmieder
Title: Inflation cycles: evidence from international data
Abstract: We identify and document key stylised facts of inflation cycles for a large panel of advanced and emerging market economies. To this end, we propose three complementary inflation cycle concepts: (1) cycles in inflation levels, reflecting mostly the low- and medium-frequency components of inflation; (2) cycles in higher-frequency deviation of inflation from its trend; and (3) a categorisation of inflation into high and low inflation regimes. For each concept, we document key stylised facts within and across countries and examine how these have evolved over time. We also show that the relationship between inflation and business cycles matters: entry in a high-inflation regime is associated with a significantly higher chance of a recession in the following quarters. A cross-country dataset with the inflation cycles is made publicly available.
Creation-Date: 2025-04
File-URL: https://www.bis.org/publ/work1264.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/publ/work1264.htm
File-Format: text/html
Number: 1264
Keywords: inflation cycles, business cycle, monetary policy
Classification-JEL: E31, F44, C53, C55
Handle: RePEc:bis:biswps:1264