Global Inflation Synchronization

Ha, Jongrim ; Kose, M. Ayhan ; Ohnsorge, Franziska L.

World Bank, Washington, DC

关键词: INFLATION;    SYNCHRONIZATION;    DYNAMIC FACTOR MODEL;    EMERGING MARKET ECONOMIES;    CONSUMER PRICE INDEX;   

DOI  :  10.1596/1813-9450-8768
RP-ID  :  WPS8768

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

The paper studies the extent of globalinflation synchronization using a dynamic factor model in alarge set of countries over a half century. Theauthors' methodology allows them to account fordifferences across groups of countries (advanced economiesand emerging market and developing economies) and to analyzecommonalities in inflation synchronization across a widerange of inflation measures. The paper reports three majorresults. First, inflation movements have become increasinglysynchronized internationally over time: a common globalfactor has accounted for about 22 percent of variation innational inflation rates since 2001. Second, inflationsynchronization has also become more broad-based: while itwas previously much more pronounced among advanced economiesthan among emerging market and developing economies, it hasbecome substantial in both groups over the past two decades.In addition, inflation synchronization has becomesignificant across all inflation measures since 2001,whereas it was previously prominent only for inflationmeasures that included mostly tradable goods.