Maria Giulia Cassinis
- 13 August 2025
- WORKING PAPER SERIES - No. 3096Details
- Abstract
- We introduce a mixed-frequency model that identifies the impact of supply shocks on inflation in the United States in real time. The model decomposes weekly movements in inflation-linked swap rates—market-based inflation expectations—and isolates three supply shocks: global value chain disruptions, energy supply shocks, and domestic supply constraints, separating them from demand-driven factors. We show how these shocks contributed to a post-Covid feedback loop that intensified inflation. By linking weekly shocks to monthly inflation components up to the industry level, we find that global value chain disruptions generate the most persistent and broad-based price pressures, while energy and domestic supply shocks tend to produce more transitory effects, as their narrower inflationary impact is more easily offset by demand-dampening, contractionary forces. Our model captures these various supply-side dynamics effectively and offers timely insights to support a more responsive monetary policy.
- JEL Code
- C54 : Mathematical and Quantitative Methods→Econometric Modeling→Quantitative Policy Modeling
C58 : Mathematical and Quantitative Methods→Econometric Modeling→Financial Econometrics
E31 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Price Level, Inflation, Deflation
G12 : Financial Economics→General Financial Markets→Asset Pricing, Trading Volume, Bond Interest Rates
G15 : Financial Economics→General Financial Markets→International Financial Markets