Where is the Inflation? The Diverging Patterns of Prices of Goods and Services

We construct a novel monthly dataset of disaggregated CPI data for 44 countries. CPIs are broken down into 93 components with a common methodology and precise definition of each component. This dataset allows international comparisons of inflation dynamics free of methodological and aggregation weights differences. We document stylized facts on relative prices across countries and sectors, and assess the importance of local, global and sectoral factors for headline inflation and its main categories. We find strong international co-movement of inflation components across countries, but also significant and persistent differences in the level, volatility, and cyclical dynamics between those components. We also find international factors to be important drivers of the main broad categories of inflation, especially for energy and headline inflation. Interestingly, local factors tend to be more relevant for the inflation of non-energy industrial goods, while the influence of the global factor is stronger on services inflation