Evidence on time-varying inflation synchronization.

ABSTRACT: Most studies on global inflation are conducted on homogeneous, advanced-economy, low-frequency samples and present evidence favouring the global inflation paradigm. I challenge this consensus view by quantifying price co-movements across a large, heterogeneous sample of countries, while accounting for volatility clustering in monthly inflation data. Estimation results broadly validate the global dimension of inflation but reveal that the strength of the link between global and domestic inflation is time-varying. Price co-movements have continued to be strongest for advanced economies and have increased considerably in emerging economies in recent years. However, they have remained feeble for low-income countries in the last two decades. Inflation synchronization tends to increase due to oi

SUBMITTER: Szafranek K 

PROVIDER: S-EPMC7505096 | biostudies-literature | 2021 Jan

REPOSITORIES: biostudies-literature