Inflation Globalization and the Fall of Country Specific Fluctuations

Haroon Mumtaz and Paolo Surico
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Paolo Surico: Bank of England

No 166, Computing in Economics and Finance 2006 from Society for Computational Economics

Abstract: Inflation in the most industrialized economies of the world has an important international common component that accounts for the historical decline in the national rates. Country specific conditions explain the rise in inflation volatility of the late 1970s and early 1980s, and the subsequent fall. During the last decade, the world contribution to the variance of inflation has become increasingly more important than national contributions. Monetary policy was a relevant source of country specific fluctuations. Our conclusions are based on a time-varying dynamic factor model applied to a large panel of inflation indicators.

Keywords: international inflation; world and country factors; great moderation (search for similar items in EconPapers)
JEL-codes: E30 E52 (search for similar items in EconPapers)
Date: 2006-07-04
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecfa:166

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