| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13470 |
| DP13470 The Global Component of Inflation Volatility | |
| Massimiliano Marcellino; Andrea Carriero; Francesco Corsello | |
| 发表日期 | 2019-01-21 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | Global developments play an important role for domestic inflation rates. Earlier literature has found that a substantial amount of the variation in a large set of national inflation rates can be explained by a single global factor. However, inflation volatility has been typically neglected, while it is clearly relevant both from a policy point of view and for structural analysis and forecasting. We study the evolution of inflation rates in several countries, using a novel model that allows for commonality in both levels and volatilities, in addition to country-specific components. We find that inflation volatility is indeed important, and a substantial fraction of it can be attributed to a global factor that is also driving inflation levels and their persistence. While various phenomena may contribute to global inflation dynamics, it turns out that since the early '90s level and volatility of the estimated global factor are correlated with the Chinese PPI and Oil inflation. The extent of commonality among core inflation rates and volatilities is substantially smaller than for overall inflation, which leaves scope for national monetary policies. Finally, we show that the point and density forecasting performance of the model is good relative to standard benchmarks, which provides additional evidence on its reliability. |
| 主题 | International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | inflation Volatility Global factors Large datasets Multivariate autoregressive index models Reduced rank regressions Forecasting |
| URL | https://cepr.org/publications/dp13470 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542285 |
| 推荐引用方式 GB/T 7714 | Massimiliano Marcellino,Andrea Carriero,Francesco Corsello. DP13470 The Global Component of Inflation Volatility. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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