EFECTOS ASIMETRICOS DE UN CHOQUE DE OFERTA SOBRE LAS EXPECTATIVAS DE INFLACIÓN EN UN CONTEXTO DE GRAN VOLATILIDAD MUNDIAL. LOS CASOS DE COLOMBIA, CHILE Y ESTADOS UNIDOS

This paper aims to determine the incidence of the supply chain disruptions caused by the COVID-19 pandemic on inflation expectations in the emerging open economies, Chile and Colombia, and one advanced economy, the U.S.A. We employ a segmented regression based on Generalized Least Squares to capture the incidence of this phenomenon via a supply shock variable dubbed the Global Supply Chain Pressure Index (GSCPI), determine a threshold, and compare the relationship between the variables before and after these threshold points. We use monthly data for the 2005:1-2022:12 period. In particular, we make use of survey-based inflation expectations and the GSCPI as main variables, and the Brent oil price, the VIX index as a common measure for global volatility, and the economic growth rate of the United States as controls. The empirical results reveal a positive and statistically significant coefficient for the GSCPI after the threshold, particularly for Colombia and Chile. This indicates that the supply shock has a positive impact on inflation expectations. We also found that the estimated coefficient for Chile is larger than that for Colombia. This difference can be attributed to Chile’s greater economic openness. The estimated coefficient for the U.S. was not statistically significant.