Inflation comovements in advanced economies: Facts and drivers
Maria Dolores Gadea and
Authors registered in the RePEc Author Service: Ana Gómez-Loscos ()
The World Economy, 2021, vol. 44, issue 2, 485-509
In this paper, we analyse inflation comovements and their macroeconomic drivers across a wide set of advanced economies. We find a high degree of inflation interdependence, which is highest for euro area countries, which show strong trade links and share a common monetary policy. In contrast, core inflation interdependence is very limited. We also find that inflation interconnectedness is a medium‐ to long‐run phenomenon. Inflation comovements across countries are well explained by an open economy new Keynesian Phillips curve.
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Persistent link: https://EconPapers.repec.org/RePEc:bla:worlde:v:44:y:2021:i:2:p:485-509
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