Sixty Years of Global Inflation: A Post-GFC Update

Raphael Auer, Mathieu Pedemonte and Raphael Schoenle

No 19226, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: Is inflation (still) a global phenomenon? We study the international co-movement of inflation based on a dynamic factor model and in a sample spanning up to 56 countries during the 1960-2023 period. Over the entire period, a first global factor explains approximately 58% of the variation in headline inflation across all countries and over 72% in OECD economies. The explanatory power of global inflation is equally high in a shorter sample spanning the time since 2000. Core inflation is also remarkably global, with 53% of its variation attributable to a first global factor. The explanatory power of a second global factor is lower, except for select emerging economies. Variables such as a broad dollar index, the US federal funds rate, and a measure of commodity prices positively correlate with the first global factor. This global factor is also correlated with US inflation during the 70s, 80s, the GFC, and COVID. However, it lags these variables during the post-COVID period. Country-level integration in global value chains accounts for a significant proportion of the share of both local headline and core inflation dynamics explained by global factors.

Keywords: Globalization; Inflation; Phillips curve; Monetary policy; Global value chains; International inflation synchronization (search for similar items in EconPapers)
JEL-codes: E31 E52 E58 F02 F14 F41 F42 F62 (search for similar items in EconPapers)
Date: 2024-07
References: Add references at CitEc
Citations:

Downloads: (external link)
https://cepr.org/publications/DP19226 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
Working Paper: Sixty years of global inflation: a post-GFC update (2024)
Working Paper: Sixty Years of Global Inflation: A Post-GFC Update (2024)
Working Paper: Sixty Years of Global Inflation: A Post-GFC Update (2024)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:19226

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP19226

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().