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Global Inflation*

* This paper has been replicated

Author

Listed:
  • Matteo Ciccarelli

    (European Central Bank)

  • Benoît Mojon

    (Banque de France)

Abstract

This paper shows that inflation in industrialized countries is largely a global phenomenon. First, inflations of 22 OECD countries have a common factor that accounts for nearly 70% of their variance. This comovement is due not only to the trend components of inflation (up from 1960 to 1980 and down thereafter) but also to fluctuations at business cycle frequencies. Second, there is a robust error correction mechanism that brings national inflation rates back to global inflation. A simple model that accounts for this feature consistently beats standard benchmarks in forecasting inflation four to eight quarters ahead across samples and countries. © 2010 The President and Fellows of Harvard College and the Massachusetts Institute of Technology.

Suggested Citation

  • Matteo Ciccarelli & Benoît Mojon, 2010. "Global Inflation," The Review of Economics and Statistics, MIT Press, vol. 92(3), pages 524-535, August.
    • Handle: RePEc:tpr:restat:v:92:y:2010:i:3:p:524-535
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    Replication

    This item has been replicated by:
  • Christian Gillitzer & Martin McCarthy, 2019. "Does global inflation help forecast inflation in industrialized countries?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 850-857, August.

    • More about this item

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

    Lists

    This item is featured on the following reading lists, Wikipedia, or ReplicationWiki pages:
    1. Global Inflation (REStat 2010) in ReplicationWiki
    2. Econometría Aplicada II

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