Global Inflation

Matteo Ciccarelli and Benoit Mojon

The Review of Economics and Statistics, 2010, vol. 92, issue 3, 524-535

Abstract: This paper shows that inflation in industrialized countries is largely a global phenomenon. First, inflations of 22 OECD countries have a common factor that accounts for nearly 70% of their variance. This comovement is due not only to the trend components of inflation (up from 1960 to 1980 and down thereafter) but also to fluctuations at business cycle frequencies. Second, there is a robust error correction mechanism that brings national inflation rates back to global inflation. A simple model that accounts for this feature consistently beats standard benchmarks in forecasting inflation four to eight quarters ahead across samples and countries. © 2010 The President and Fellows of Harvard College and the Massachusetts Institute of Technology.

Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (113)

Downloads: (external link)
http://www.mitpressjournals.org/doi/pdf/10.1162/REST_a_00008 link to full text (application/pdf)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Global reflation ? (2021)
Working Paper: Global inflation (2008)
Working Paper: Global Inflation (2006)
Working Paper: Global Inflation (2005)
Working Paper: Global inflation (2005)
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:tpr:restat:v:92:y:2010:i:3:p:524-535

Ordering information: This journal article can be ordered from
https://mitpressjour ... rnal/?issn=0034-6535

Access Statistics for this article

The Review of Economics and Statistics is currently edited by Pierre Azoulay, Olivier Coibion, Will Dobbie, Raymond Fisman, Benjamin R. Handel, Brian A. Jacob, Kareen Rozen, Xiaoxia Shi, Tavneet Suri and Yi Xu

More articles in The Review of Economics and Statistics from MIT Press
Bibliographic data for series maintained by The MIT Press (mitp-repec@mit.edu).