Global inflation dynamics
This paper examines the dynamics of various measures of national, regional, and global inflation. The paper calculates the first two common factors for four measures of industrial country inflation rates: total CPI, core CPI, cyclical total CPI, and cyclical core CPI. The paper then demonstrates that the first common factor is sometimes helpful in forecasting national inflation rates. It also shows that the second common factor and the first common factor for cyclical inflation is sometimes helpful in forecasting national CPI inflation rates. Finally, the paper suggests that the commonality of industrial inflation rates reflects the commonality of the determinants of inflation.
|Date of creation:||2009|
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7023, National Bureau of Economic Research, Inc.
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"Forecasting inflation and output: comparing data-rich models with simple rules,"
Federal Reserve Bank of St. Louis, issue May, pages 175-192.
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"Globalization and global disinflation,"
Proceedings - Economic Policy Symposium - Jackson Hole,
Federal Reserve Bank of Kansas City, pages 77-112.
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