Macroeconomic regime change and the size of supply chain disruption and energy supply shocks

Roberto A. De Santis and Tommaso Tornese

No 3120, Working Paper Series from European Central Bank

Abstract: The COVID-19 pandemic and Russia’s invasion of Ukraine have complicated macroeconomic forecasting and policymaking due to unprecedented disruptions in supply chains and energy markets, suggesting a new macroeconomic regime. However, we are unable to reject the null hypothesis of no structural break in March 2020. We then examine whether these shocks have increased post-COVID-19. Their sizes were initially elevated, but then have been gradually returning to pre-pandemic levels. The linear and nonlinear models reveal that supply chain disruptions cause persistent increases in expected inflation and headline goods prices, while energy supply shocks have a transitory inflation effect. The nonlinear model shows that real GDP is adversely affected by supply shocks in low growth periods. JEL Classification: C32, E32

Keywords: business cycles; energy shocks; narrative identification; nonlinearities; supply-chain disruption shocks; TVAR (search for similar items in EconPapers)
Date: 2025-09
Note: 185689
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp3120~d8e8265425.en.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20253120

Access Statistics for this paper

More papers in Working Paper Series from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().