Kiel Working Papers, Kiel Institute for World Economics
No 1337:
Global Inflation
Matteo Ciccarelli and Benoît Mojon
Abstract: This paper shows that ination in industrialized countries
is largely a global phenom- enon. First, inations of (22) OECD countries
have a common factor that alone accounts for nearly 70% of their variance.
This large variance share that is associated to Global Ination is not only
due to the trend components of ination (up from 1960 to 1980 and down
thereafter) but also to uctuations at business cycle frequencies. Second,
Global In- ation is, consistently with standard models of ination, a
function of real developments at short horizons and monetary developments
at longer horizons. Third, there is a very robust "error correction
mechanism" that brings national ination rates back to Global Ination. This
model consistently beats the previous benchmarks used to forecast ination 1
to 8 quarters ahead across samples and countries.
Keywords: Inflation, common factor, international business cycle, OECD countries; (follow links to similar papers)
JEL-Codes: E31,; E37,; F42; (follow links to similar papers)
41 pages, June 2007
Before downloading any of the electronic versions below
you should read our statement on
copyright.
Download GhostScript
for viewing Postscript files and the
Acrobat Reader for viewing and printing pdf files.
Downloadable files:
kap1337.pdf 
Download Statistics
Report other problems with accessing this service to Sune Karlsson ()
or Helena Lundin ().
Programing by
Design Joakim Ekebom
