A Conditionally Heteroskedastic Global Inflation Model
AbstractThis article proposes a multivariate model of inflation with conditionally heteroskedastic common and country-specific components. The model is estimated in one-step via Quasi-Maximum Likelihood for the G7 countries for the period Q1-1960 to Q4-2009. It is found that various model specifications considered fit well the first and second order dynamics of inflation in the G7. The estimated volatility of the common inflation component captures the international effects of the ‘Great Moderation’ and of the ‘Great Recession’. The model also shows promising capabilities for forecasting inflation in several countries
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Bibliographic InfoPaper provided by Kiel Institute for the World Economy in its series Kiel Working Papers with number 1666.
Length: 38 pages
Date of creation: Nov 2010
Date of revision:
Global inflation; conditional heteroskedasticity; inflation forecasting;
Other versions of this item:
- Leonardo Morales-Arias & Guilherme V. Moura, 2013. "A conditionally heteroskedastic global inflation model," Journal of Economic Studies, Emerald Group Publishing, vol. 40(4), pages 572-596, August.
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-12-18 (All new papers)
- NEP-CBA-2010-12-18 (Central Banking)
- NEP-FOR-2010-12-18 (Forecasting)
- NEP-MAC-2010-12-18 (Macroeconomics)
- NEP-MON-2010-12-18 (Monetary Economics)
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