Neely, Christopher J.; Rapach, David E. - Federal Reserve Bank of St. Louis - 2008
components in international inflation rates. This paper characterizes such links in international inflation rates with a dynamic … latent factor model that decomposes inflation for 65 countries into world, regional, and idiosyncratic components. The world … component accounts for 34% of inflation variability on average across countries, although the importance of this global factor …