Using quantile regression techniques, we study the drivers of inflation risks in a large panel of advanced and emerging market economies (EMEs). We document several facts regarding the inflation forecast distribution and highlight some key differences between these two groups of countries. First, the exchange rate has a quantitatively important and non-linear impact on the inflation outlook in EMEs: a depreciation is associated with larger increases in the upper quantiles than in the lower quantiles, increasing the right skewness of the distribution. By contrast, there is no evidence of such non-linearities for advanced economies. Second, tighter financial conditions in EMEs carry both downside and upside risks to inflation, while having a muted impact on the modal or mean outcome. This is in contrast to advanced economies, where only downside risks prove sensitive. Third, the zero lower bound on policy rates translates into substantial downside risks to inflation. Finally, the adoption of inflation targeting is associated not only with lower mean inflation but also with a less right-skewed distribution. Our findings underscore the importance of including non-linearities in structural models of inflation dynamics.

中文翻译：

---

发达和新兴市场经济体面临通胀风险

我们利用分位数回归技术，研究了发达经济体和新兴市场经济体 (EME) 中通胀风险的驱动因素。我们记录了有关通胀预测分布的几个事实，并强调了这两组国家之间的一些关键差异。首先，汇率对新兴市场经济体的通胀前景具有数量上重要且非线性的影响：贬值与上分位数的增幅大于下分位数的增幅相关，从而增加了分布的右偏度。相比之下，没有证据表明发达经济体存在这种非线性。其次，新兴市场经济体金融状况趋紧给通胀带来下行和上行风险，同时对模态或平均结果影响不大。这与发达经济体形成鲜明对比，后者仅对下行风险敏感。第三，政策利率的零下限转化为通胀的巨大下行风险。最后，通胀目标制的采用不仅与较低的平均通胀率有关，而且与较少的右偏分布有关。我们的研究结果强调了将非线性纳入通胀动态结构模型的重要性。