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Global Inflation Synchronization

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  • Ha,Jongrim
  • Kose,Ayhan
  • Ohnsorge,Franziska Lieselotte

Abstract

The paper studies the extent of global inflation synchronization using a dynamic factor model in a large set of countries over a half century. The authors'methodology allows them to account for differences across groups of countries (advanced economies and emerging market and developing economies) and to analyze commonalities in inflation synchronization across a wide range of inflation measures. The paper reports three major results. First, inflation movements have become increasingly synchronized internationally over time: a common global factor has accounted for about 22 percent of variation in national inflation rates since 2001. Second, inflation synchronization has also become more broad-based: while it was previously much more pronounced among advanced economies than among emerging market and developing economies, it has become substantial in both groups over the past two decades. In addition, inflation synchronization has become significant across all inflation measures since 2001, whereas it was previously prominent only for inflation measures that included mostly tradable goods.

Suggested Citation

  • Ha,Jongrim & Kose,Ayhan & Ohnsorge,Franziska Lieselotte, 2019. "Global Inflation Synchronization," Policy Research Working Paper Series 8768, The World Bank.
  • Handle: RePEc:wbk:wbrwps:8768
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    References listed on IDEAS

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    1. Auer, Raphael A. & Mehrotra, Aaron, 2014. "Trade linkages and the globalisation of inflation in Asia and the Pacific," Journal of International Money and Finance, Elsevier, vol. 49(PA), pages 129-151.
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    Cited by:

    1. Aleksei Kiselev & Aleksandra Zhivaykina, 2019. "The role of global relative price changes in international comovement of inflation," Bank of Russia Working Paper Series wps53, Bank of Russia.

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    More about this item

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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