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Time-varying sources of fluctuations in global inflation

Author

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  • Kim, Won Joong
  • Ko, Juyoung
  • Kwon, Won Soon
  • Piao, Chunyan

Abstract

Different crises, such as the GFC, COVID-19 pandemic, and RU-UA war, lead to the common economic consequences: fluctuations in global inflation. In a globalized world, global inflation matters because it also affects the national economy. Although the literature provides determinants of inflation at national and regional levels, no studies have measured global inflation and analyzed its sources of fluctuations during the GFC, COVID-19, and RU-UA war periods. To fill this void, we measure monthly global inflation and estimate its dynamics using a time-varying parameter structural vector autoregression model with stochastic volatility. The results from global data show that global inflation during crisis periods is greatly affected by the monetary and the oil price shocks. Finally, the application to the EMU member countries implies that high EMU inflation rates in recent years were dominantly caused by excessive expansionary monetary policy in the EMU system.

Suggested Citation

  • Kim, Won Joong & Ko, Juyoung & Kwon, Won Soon & Piao, Chunyan, 2025. "Time-varying sources of fluctuations in global inflation," Economic Modelling, Elsevier, vol. 143(C).
    • Handle: RePEc:eee:ecmode:v:143:y:2025:i:c:s0264999324003274
    DOI: 10.1016/j.econmod.2024.106970
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    More about this item

    Keywords

    Global inflation; Time-varying structural vector autoregression; COVID-19; Russia–Ukraine war; EMU;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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