Has international CPI inflation comovement strengthened since the global financial crisis?

Inseok Shin, Kyu Ho Kang

    Research output: Contribution to journalArticlepeer-review

    7 Citations (Scopus)

    Abstract

    This study detects a structural break in international consumer price index (CPI) inflation comovement. We estimate the dynamic common factor models with unknown breakpoints of cross-country inflation rates and global price index of all commodities. We identify two global factors from the models: a commodity global factor and a noncommodity global factor. The former is a common factor between national inflation rates and commodity price index growth; the latter is a common factor among national inflation rates. The estimation of 29 countries' quarterly CPI inflation data from 2001:Q1 to 2018:Q2 shows a onetime break in cross-country inflation dynamics in 2008:Q4. Thereafter, the importance of global factors in explaining the national inflation rates is remarkably increased. Furthermore, the increased global inflation synchronization is mainly driven by the larger role of the noncommodity global factor rather than that of the commodity global factor.

    Original languageEnglish
    Pages (from-to)111-140
    Number of pages30
    JournalMacroeconomic Dynamics
    Volume27
    Issue number1
    DOIs
    Publication statusPublished - 2023 Jan 1

    Bibliographical note

    Publisher Copyright:
    © Cambridge University Press 2021.

    Keywords

    • Bayesian MCMC estimation
    • Variance decomposition
    • financial openness
    • structural break

    ASJC Scopus subject areas

    • Economics and Econometrics

    Fingerprint

    Dive into the research topics of 'Has international CPI inflation comovement strengthened since the global financial crisis?'. Together they form a unique fingerprint.

    Cite this