IInflation and Globalisation: A Dynamic Factor Model with Stochastic Volatility

Joseph Byrne, Fatima Kaneez and Alexandros Kontonikas ()

No 2010-05, SIRE Discussion Papers from Scottish Institute for Research in Economics (SIRE)

Abstract: National inflation rates reflect domestic and international (regional and global) influences. The relative importance of these components remains a controversial empirical issue. We extend the literature on inflation co-movement by utilising a dynamic factor model with stochastic volatility to account for shifts in the variance of inflation and endogenously determined regional groupings. We find that most of inflation variability is explained by the country specific disturbance term. Nevertheless, the contribution of the global component in explaining industrialised countries’ inflation rates has increased over time.

Keywords: Inflation; Dynamic Factor Model; Stochastic Volatility; Globalisation (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10943/137
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Working Paper: Inflation and Globalisation: A Dynamic Factor Model with Stochastic Volatility (2010)
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:edn:sirdps:137

Access Statistics for this paper

More papers in SIRE Discussion Papers from Scottish Institute for Research in Economics (SIRE) 31 Buccleuch Place, EH8 9JT, Edinburgh. Contact information at EDIRC.
Bibliographic data for series maintained by Research Office ().