Inflation cycles: evidence from international data

Alberto Americo, Douglas Kiarelly Godoy de Araujo, Johannes Damp, Sjur Nilsen, Daniel Rees, Rafael Schmidt and Christian Schmieder

No 1264, BIS Working Papers from Bank for International Settlements

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.

Keywords: inflation cycles; business cycle; monetary policy (search for similar items in EconPapers)
JEL-codes: C53 C55 E31 F44 (search for similar items in EconPapers)
Date: 2025-04
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