What is the Globalisation of Inflation?

Gantungalag Altansukha, Ralf Becker, George Bratsiotis () and Denise Osborn

Centre for Growth and Business Cycle Research Discussion Paper Series from Economics, The University of Manchester

Abstract: This paper studies the globalisation of CPI in ation by analysing core, energy and food components, testing for structural breaks in the relationships between domestic inflation and a corresponding country-specific foreign inflation series at the monthly frequency for OECD countries. The iterative methodology employed separates coefficient and variance breaks, while also taking account of outliers. We find that the overall pattern of globalisation in aggregate inflation is largely driven by convergence of the mean levels of the core component from the early 1990s, compatible with the introduction of inflation targeting in many countries of our sample. There is less evidence of increased synchronisation of shortrun movements in core than aggregate inflation, but an increased role for shortrun foreign energy inflation often contributes to the globalisation effect.

Pages: 41 pages
Date: 2016
New Economics Papers: this item is included in nep-mac and nep-mon
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Journal Article: What is the globalisation of inflation? (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:man:cgbcrp:224

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