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1、INTERNATIONA1.MONETARYFUNDGlobalValueChainsandInflationDynamicsVuChau,MarinaConesaMartinez,TaehoonKim,JohnSprayWP/24/62IMFWorkingPapersdescriberesearchinprogressbytheauthor(三)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(三)anddonotnecessar
2、ilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.WoRK-NGPAPER2024MARWP/24/622024InternationalMonetaryFundIMFWorkingPaperResearchandWesternHemisphereDepartmentsGlobalValueChainsandInflationDynamicsPreparedbyVuChau,MarinaConesaMartinez,TaehoonKim,andJohnSpray*AuthorizedfordistributionbyN
3、an1.iandCeydaOnerMarch2024IMFWorkingPapersdescriberesearchinprogressbytheauthor(三)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(三)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.ABSTRACT:Westudytheinflationar
4、yimpactsofpandemiclockdownshocksandfiscalandmonetarystimulusduring2020-2022usinganovelharmonizeddatasetofsectoralproducerpriceinflationandinput-outputlinkagesformorethan1000sectorsin53countries.TheinflationaryimpactofshocksisidentifiedviaaBartikshift-sharedesign,wheresharesreflecttheheterogeneoussec
5、toralexposuretoshocksandarederivedfromamacroeconomicmodelofinternationalproductionnetwork.Wefindthatpandemiclockdowns,andsubsequentreopeningpolicies,werethemostdominantdriverofglobalinflationinthisperiod,especiallythroughtheirimpactonaggregatedemand.Weprovideadecompositionoflockdownshockbysources,an
6、dfindthatbetween20-30percentofthedemandeffectofIockdownZreopeningisduetospilloverfromabroad.Finally,whilefiscalandmonetarypoliciesplayedanimportantroleinpreventingdeflationin2020,theireffectsdiminishedintherecoveryyears.RECOMMENDEDCITATION:Chau,V.,ConesaMartinez,M.,Kim,T.,&Spray,J.(2024).GlobalValue
7、ChainsandInflationDynamics.IMFWorkingPapers,2024/62JE1.ClassificationNumbers:E31；F10；F41Keywords:Inflation;globalvaluechains;network;pandemic;spillovers.AuthorsE-MailAddress:VChaUimf.ora:mconesamartinezimf.orci;tkimimf.orci;isoravimf.ora.AllauthorsareaffiliatedwiththeInternationalMonetaryFund.Thevie
8、wsinthispaperarepersonalviewsoftheauthorsanddonotnecessarilyrepresentthoseoftheIMF,itsExecutiveBoard,orIMFManagement.WethankChrisPapageorgiou,CeydaOner,PrachiMishra,RodrigoValdes,FilizUnsal,AdrianPeralta-Alva,RuiMano,Niels-JakobHansen,YanCarriere-Swallow,AlasdairStt,AbdoulWane.CianRuane,MarcoArena,a
9、ndparcipantsattheIMFAPD1WHD.RESDMSeminarSeriesforthoughtfulcommentsandfeedback.WORKINGPAPERSGlobalValueChainsandInflationDynamicsPreparedbyVuChau,MarinaConesaMartinez,TaehoonKim,JohnSpray1IntroductionTheriseofglobalin11ationaftertheCOVID_19pandemiccaughttheworldbysurpriseandpushedinflationtoitshighe
10、stlevelsindecades.Whiletraditionaldriversofinflation,suchasloosefiscalandmonetarypolicies,havecontinuedtobecitedasthecausesofhighinflation,therecentinflationaryperiodhasalsocalledintoquestionsthevulnerabilitiesoftheglobalvaluechains（GVCs）todisruptions（causedbylockdowns,disasters,andwars）anditsrolein
11、transmittingshocksacrosscountries.Toproperlydrawlessonsfromthisinflationaryperiodandensurecostlymistakesarenotrepeatedinthefuture,itisimportantthentoknowtherelativeimportanceofdifferentinflationdrivers.Inthispaper,weprovideanovelharmonizeddatasetofsectoralproducerprice,mergedwithinput-outputlinkages
12、andshocks,formorethan100Osectorsin53countries,andaframeworktoidentifyinflationaryimpactofdifferentin11ationdriversusingthesectoraldata.Identifyingtheinflationaryimpactofshocksisempiricallychallenging.First,aggregateconsumerpriceindicesarefunctionsofmanyconcurrentshocks-demandandsupply,domesticandfor
13、eignspillovers-andrelyingonlyonthisdatawouldnotprovidesufficientstatisticalpowerforidentification.ThisisevidentintheUSinflationdebate,wheredifferentpolicymakersandscholarsattributethehighinflationratetodifferentdrivers.Second,thesameshockcanappeartobebothausupplyshock”andaudemandshock,jthataffectinf
14、lationinopposingways.1.ockdownpoliciescanbeanegativesupplyshockthatincreasesthepricelevelaslimitedproductiondepletesinventoriesandmakesgoodsscarce.Atthesametime,lockdownscanbethoughtofanegativedemandshockthatdepressesprices,asworkersreceivelowerincomeanddemandlessgoodsandservices.Furthermore,lockdow
15、nscanbepredominantlyademandshockforonecountryandasupplyshockforanother,manifestingthroughhigherimportedinputprices.Thus,studyingtheinflationaryimpactofpandemiclockdownrequirestakingaholistic,structuredviewofhowlockdowncanaffecttheunitsofobservationofinterest.Inthispaper,wetrytoovercometheaforementio
16、nedempiricalchallengesandstudythedriversofglobalinflationusingasetofBartik（1991）shift-shareinstrumentsderivedfromageneralequilibriummodelwithinternationalproductionnetwork.Ourempiricalworkhastwocomponents.First,wecollectandharmonizePPIinflationdataforacross-sectionof1134internationalproductionsector
17、sduringtheperiod20202022,ensuringconsistencywithinternationalinput-outputdataandotherrelevantdatasets.Second,weconstructBartikinstrumentsofinflationdrivers,leveragingthelargechangesinlockdownandfiscalpoliciesworldwideduringthisperiodasshiftsandthedifferentialdegreesofsectoralexposuretoshocksthrought
18、hetradenetworkasshares.The“networkexposureshare”isderivedfromamacroeconomicmodelofinternationalproductioninanetworkedsupply1SeeElliottandGolub（2022）；Carvalhoetal.（2021）；AcemogluandTahbaz-Salehi（2020）2SeeGuerrierietal.（2022）forhowashockcanbebothsupplyanddemandinamulti-sectoreconomy.chain,whichclosely
19、followsBaqaeeandFarhi(2019).Inparticular,identificationoftheimpactofsupply-shocksreliesonthedifferentialuseofinputsinproduction：whenasectorinaparticularcountryenterslockdown(e.g.microchipsinThailand),adownstreamsectorthatusesthoseinputsmoreextensively,eitherdirectly(e.g.automobileproductioninMexico)
20、orindirectly(e.g.,automobileretailintheUS),shouldseealargerincreaseininflation.Symmetrically,identificationoftheimpactofdemand-shocksreliesonthedifferentialdemandforproducts-alockdownintheUSwilldirectlyimpactdemandforautomobilesfromMexico,andindirectlyimpactdemandformicrochipsinMalaysiabutwillhavean
21、egligibleimpactonsectorswithsmallbilateraltradeshares(e.g.tobaccoproductionfromCuba).Theseparateidentificationofthesupplyeffectversusthedemandeffectoflockdownscomesfromthefactthataproductionsectorinaparticularcountrymightimportintermediategoodsfromgeographicallocationsthatdifferfromwheretheyexport.U
22、singtheseinstruments,werun1.ocalProjection(1.P)regressionsalaJorda(2005)tostudythecontemporaneousanddynamiceffectsoflockdownsandfiscalstimulionproducerprices.Theaimofthebaselineexerciseistostudytheimpulseresponsesofvariousdriversofinflation.Asanextension,welookatheterogeneityoftheseeffectsviaallowin
23、gtheimpulseresponsestodi11erdependingonthestageofthepandemic,aswellasown-versusnetwork-effects.Ourmainresultsarethefollowing.First,lockdown(andreopening)policiesarestrongandpersistentdriversofglobalinflation,boththroughsupplyanddemandchannels.Ourestimatesimplylargeeconomicimpacts.Onthesupplyside,the
24、fulllockdownofamajorsupplierthataccountsfor50%oftotalexpenditureraisesasector,sPPIby14.5%.Onthedemandside,afulllockdownofaneconomythataccountsfor50%ofasector,stotaloutputdepressesitsPPIby15%.Theinflationaryeffectsoflockdownarelargeandpersistent,peakingafter3quartersanddissipatingonlyafterayear.Allof
25、ourspecificationsincludeafullsetofcountry,sectorandtimefixedeffects.Theresultsarequalitativelyinvarianttocontrollingforlaggedinflation,changesintheexchangeratevis-a-vistheUSdollar,andtransportationcosts.Second,fiscalstimuluspackagesduringthepandemicsalsohadsignificantinflationaryimpact.Ourestimatesp
26、ointtoafiscalmultiplierof0.75,i.e.aonedollarincreaseinfiscalspendingwouldincreasedomesticdemandbyabout75centsonimpact.Theinflationaryimpactonasector,sproducerpricedependsonitsexposure1totheeconomyreceivingthestimulus.Toillustratethepotentialmagnitude,considerastimuluspackageworth10%ofGDPandasectorth
27、atsells50%ofitsvalueaddeddomestically.Theinflationaryimpactofthefiscalstimulusonthissectorwouldbe0.7510%0.5=3.8%,However,fiscalshockstendtobelesspersistentcomparedtolockdownshocks,peakingonimpactandquicklydissipatingafter2quarters.Third,inrelativecontribution,wefindthatpandemiclockdowns,andsubsequen
28、treopeningpolicies,werethemostdominantdriverofglobalinflationinthisperiod,especiallythroughtheirimpactonaggregatedemand.Whilefiscalandmonetarypoliciesplayedanimportantroleinpreventingdeflationin2020,theireffectsdiminishedintherecoveryyears.Fourth,theinflationaryimpactsofshocksaredifferentinthebeginn
29、ingversusrecoveryphaseofthepandemic.Inparticular,wefindthatthesupplydisruptionsduetolockdownweremoresevereandlong-lastingatthebeginningofthepandemicthaninthetherecoveryphase.Bycontrast,thedemandeffectofIockdownZreopeningwasthesameinbothphases.Thissuggeststhepossibilitythatfirmswereabletoadapttorisin
30、gcostsduetosupplydisruptionsduringtherecoveryphase,e.g.byswitchingtoalternativesources.Forfiscalpolicies,wefindthatfiscalstimulushadamuchmorepersistentinationaryeffectintherecoveryphase,whichsuggeststhatwhilefiscalpackageswerehelpfulinsupportingbusinessesandworkerswithoutalong-lastinginflationaryimp
31、actatthetroughofthepandemic,continuingtooverheattheeconomywithfiscalstimuluswhentheeconomyhasrecoveredcouldleadtoverypersistentinflation.Finally,wefindthatglobalsupplychainswereimportantpropagationchannelsofinternationalshockstoproducerprices.Inthesubsequentanalysis,wedecomposetheimpulseresponseinto
32、theonedrivenbythenetworkeffectanditsowneffect.Thenetworkeffect-theimpactofshockstoconnectedsectors-accountsfor50%ofthetotaleffectforusupplyshocks”andalmosttheentireeffectofudemandshocks.Thisresultsuggeststhattheproductionnetworkisintegraltotheunderstandingofinternationalspillovereffectsofashocksucha
33、sthepandemic.Ouridentificationleveragesheterogeneousexposureofdifferentindustriestoshocks.Theidentificationassumptionisthattheexposureweights(pre-COVIDnetworksupplyanddemandshares)donotpredictchangesinsectoralinflationratesthroughchannelsotherthanthenetworkofintermediateinputtradesaslaidoutinourtheo
34、ry.Whileassumingthatthenetworktradeshares,whichareendogenousobjects,areuncorrelatedwiththelevelsofsectoralinflationratesmightnotbeplausible,assumingthatthesharesareuncorrelatedwiththechangesininflationratesisamuchweakerassumption(Goldsmith-Pinkhametal.,2020).TheconstructedBartikinstrumentsareapplied
35、asinstrumentalvariablestothe1.ocalProjectionframework(seeeJorda(2023)foraliteraturesummary).Aviolationoftheidentificationassumptionwouldoccur,forexample,iftwocountrieshavehighnetworksupplyanddemandsharesduetogeographicalproximity,however,beingclosealsomeansthatCOVIDinfectionsandtheconsequentialsuppl
36、ydisruptions-canspreadacrossborders.Arelatedconcernisthattradeshareswerecorrelatedwithtransportcostshocksinducedbythepandemic.ThiscouldoccurifCOVIDinfectionsarepassedalongtraderoutesandleadtodisruptionstotransportationinfrastructure.Toaddressbothof3Moreformally,weassumethattheinitialperiodsharesaren
37、otcorrelatedwiththestructuralerrorterms,i.e.,changesintheoutcomevariable(PPlinflation).thesethreatwerunrobustnesstestscontrollingforthelevelandchangeofCOVIDinfectionsineachcountry.Wealsocontrolforroute-sector-specificmaritimetransportcosts.Todothisweinteractmonthlyroute-specificmaritimefreightcostsf
38、romFreightosBalticContainerPriceIndexwithameasureofsectorspecificexposuretochangesintransportationcostsusingdatafromtheOECDMaritimeTransportCostdatasetwhichcontainsbilateraladvaloremmaritimetransportcostsfor43importingcountriesfrom218countriesoforiginataproductlevel.Inallinstances,theresultsarerobus
39、ttothesecontrolsandboththesignandmagnitudeofcoefficientsonthemainexplanatoryvariablesremainlargelyunchanged.Theseresultshaveimportantimplicationsforourunderstandingofinternationalspilloversofpolicythroughglobalsupplynetworks.Firstly,wecontributetotheinflationdebatebyshowingthattheriseininflationacro
40、sstheworldisindeedmostlydemand-based.However,contrarytoconventionalwisdomwefindthisdemandisstimulatedviaageneralreopeningofeconomiesinsteadoffiscalstimuli.Secondly,inaworldwhichisincreasinglysubjecttosupply-shocksandwiththethreatofeconomicfragmentationourresultsindicatethatpolicymakerswilla）needtoco
41、nsidertheindirectimpactsofeconomicpoliciesinmajortradingpartners,b）shouldinternalizetheglobalimpactoftheirowneconomicpolicythroughsupply-networks,andc）shouldincentivizethebuildingofresilientsupply-chains,tominimizetheimpactofshocks.OurpaperisinthespiritofAcemogluetal.（2016）andBaqaeeandFarhi（2019）,wh
42、ichstudythetransmissionofmacro-economicshocksthroughinput-outputproductionlinkages.Weextendthisframeworktotheinternationalsettingandtothestudyofinflationdynamics.Theuseofthestructuralmodelhereisnecessary：aswearestudyinghundredsofdifferentshocks（lockdown,fiscal,monetaryshocksfor60+countries）,themodel
43、providesaparsimoniousandintuitivewaytocombinethoseshocksintoafewBartikinstruments.Furthermore,themodelalsoallowsustodecomposeashock,likelockdown,intodifferentpropagationchannels.Anotherclosely-relatedpaperisDiGiovannietal.（2023）,whichalsostudiesthedriversofpandemic-erainflationusingamulticountrymode
44、lwithinput-outputnetwork.Themodelinthatpaperisslightlyricherbutiscalibratedonlytofourlargecountries/areas,foregoingtherichnessofcross-countrygranulardata.OurpaperinsteadreliesonthemodeltoconstructtheBartikinstruments,appliedtomanymorecountriesandsectors.Ourpapershedslightonsupplychaindisruptionscaus
45、edbytheCOVID_19lockdowns.Recentpapersintheliterature,whichfocusonthesupply-chainissuesofthepandemic,includeBonadioetal.（2021）,MeierandPinto（2022）,BaqaeeandFarhi（2022）,1.afrogne-fJoussieretal.（2022）,Carriere-Swallowetal.（2023）andAlessandriaetal.（2023）.1.aurenceBallandMishra（2022）decomposesthepost-pan
46、demicinflationtothesupply-sideanddemandsidefactors.Onthetheoryfront,BenignoandEggertsson（2023）andHardingetal.（2023）attempttoexplainthenon-linearityofthePhillipsCurvethatwasObSerVedduringthepandemicperiod.Ourpaperalsocontributesalargeempiricalliteratureoninflation.Inparticular,ourpaperrelatestoagrowi
47、nginterestintheidentificationofinflationdriversviacross-sectionalvariations.Forexample,FitzgeraldandNicolini(2014)andMc1.eayandTenreyro(2019)showthatusingregionaldatahelpsdisentangledemand-andsupplysideshockstoinflation.OtherpaperssuchasBerajaetal.(2019)andHazelletal.(2022)makeuseofstate-levelorcity
48、-levelpriceindexesintheUStoestimatetheslopeoftheregionalPhillipsCurve.Debetal.(2023)constructedanovelmonetarypolicyshocksdatabasetostudythedynamicsofthetransmissionofmonetarypolicyoninflationandoutput,andthecountrycharacteristicsthatdrivethem.Ourpaperbuildsonaliteratureusingshift-sharedesignstoident
49、ifytheimpactofmacroeconomicshocks.Buildingfromseminalappliedworkusingdifferentialexposuretoshockstoidentifycausalrelationships(Bartik,1991；Card,2001；Autoretal.,2013),arecentbodyofliteraturehasmadeadvancesinunderstandingbias,inferenceandaggregationinshiftsharedesigns(Jaegeretal.,2018；Adaoetal.,2019；Broxtermanand1.arson,2020；Goldsmith-Pinkhametal.,2020；Borusyaketal.,2022).Ourpapermostcloselyrelatestoaliteratureusingdifferentialexposuretoforeignmarket(Humm
