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Inflation Globalization and the Fall of Country Specific Fluctuations

Author

Listed:
  • Haroon Mumtaz

    (Bank of England)

  • Paolo Surico

    (Bank of England)

Abstract

Inflation in the most industrialized economies of the world has an important international common component that accounts for the historical decline in the national rates. Country specific conditions explain the rise in inflation volatility of the late 1970s and early 1980s, and the subsequent fall. During the last decade, the world contribution to the variance of inflation has become increasingly more important than national contributions. Monetary policy was a relevant source of country specific fluctuations. Our conclusions are based on a time-varying dynamic factor model applied to a large panel of inflation indicators.

Suggested Citation

  • Haroon Mumtaz & Paolo Surico, 2006. "Inflation Globalization and the Fall of Country Specific Fluctuations," Computing in Economics and Finance 2006 166, Society for Computational Economics.
  • Handle: RePEc:sce:scecfa:166
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    File URL: http://repec.org/sce2006/up.17690.1140039456.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    international inflation; world and country factors; great moderation;
    All these keywords.

    JEL classification:

    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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