Inflation as a global phenomenon - some implications for policy analysis and forecasting

Ayşe Kabukçuoğlu Dur and Enrique Martínez García ()

No 261, Globalization Institute Working Papers from Federal Reserve Bank of Dallas

Abstract: We evaluate the performance of inflation forecasts based on the open-economy Phillips curve by exploiting the spatial pattern of international propagation of inflation. We model these spatial linkages using global inflation and either domestic slack or oil price fluctuations, motivated by a novel interpretation of the forecasting implications of the workhorse openeconomy New Keynesian model (Martnez-Garca and Wynne (2010), Kabukcuoglu and Martnez-Garca (2014)). We find that incorporating spatial interactions yields significantly more accurate forecasts of local inflation in 14 advanced countries (including the U.S.) than a simple autoregressive model that captures only the temporal dimension of the inflation dynamics.

JEL-codes: C21 C23 C53 F41 F62 (search for similar items in EconPapers)
Pages: 52 pages
Date: 2016-01-01
New Economics Papers: this item is included in nep-for and nep-mon
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Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Inflation as a global phenomenon—Some implications for inflation modeling and forecasting (2018)
Working Paper: Inflation as a Global Phenomenon—Some Implications for Policy Analysis and Forecasting (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:feddgw:261

DOI: 10.24149/gwp261

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