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A Conditionally Heteroskedastic Global Inflation Model

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  • Leonardo Morales-Arias
  • Guilherme V. Moura

Abstract

This 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 Info

Paper provided by Kiel Institute for the World Economy in its series Kiel Working Papers with number 1666.

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Length: 38 pages
Date of creation: Nov 2010
Date of revision:
Handle: RePEc:kie:kieliw:1666

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Keywords: Global inflation; conditional heteroskedasticity; inflation forecasting;

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