Global Factors Driving Inflation and Monetary Policy: A Global VAR Assessment
Elizaveta Lukmanova () and
Gabriele Tondl ()
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Elizaveta Lukmanova: KU Leuven
Gabriele Tondl: Department of Economics, Vienna University of Economics and Business
Department of Economics Working Papers from Vienna University of Economics and Business, Department of Economics
In this paper, we examine international linkages in inflation and short-term interest rates using a global sample of OECD and emerging economies. Using a Bayesian global vector autoregression (GVAR) model, we show that for short-term interest rates both movements in inflation and output play an important role. In advanced countries, however, international factors such as foreign interest rates appear as an important driver of local interest rates. For inflation, we also find evidence for the importance of global factors, such as price developments in other countries, oil prices and the exchange rate. Again, this impact of global factors appears predominately in advanced countries.
Keywords: Monetary policy; Inflation; Global VAR (search for similar items in EconPapers)
JEL-codes: E40 E43 E44 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Working Paper: Global Factors Driving Inflation and Monetary Policy: A Global VAR Assessment (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:wiw:wiwwuw:wuwp289
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