This article proposes a multivariate model of inflation with conditionally heteroskedastic common and country …-2009. It is found that various model specifications considered fit well the first and second order dynamics of inflation in the … G7. The estimated volatility of the common inflation component captures the international effects of the ‘Great …

This paper provides both theoretical insight as well as empirical evidence in support of the view that inflation is … largely a global phenomenon. First, we show that inflation across countries incorporates a significant common factor captured … by global inflation. Second, we show that in theory a role for global inflation in local inflation dynamics emerges over …

We use a broad-range set of inflation models and pseudo out-of-sample forecasts to assess their predictive ability …

This paper provides both theoretical insight as well as empirical evidence in support of the view that inflation is … largely a global phenomenon. First, we show that inflation across countries incorporates a significant common factor captured … by global inflation. Second, we show that in theory a role for global inflation in local inflation dynamics emerges over …

We explore the ability of core inflation to predict headline CPI annual inflation for a sample of 8 developing … sample of developing countries are currently implementing or given steps toward the future implementation of inflation … targeting regimes, which are heavily based on long run inflation forecasts …

minimizes the pitfalls associated with potential structural breaks. Exchange rate forecasting, inflation forecasting, output …

Purpose: This study addresses the issue of prediction of inflation differences for an economy that considers either … inflation and anticipating the possible course of domestic inflation relative to inflation abroad becomes an important input in … simplest such forecasting heuristic suggests that the average over all available observations of inflation differentials should …

strategies may be well described by Taylor rules with a time-varying inflation target, a time-varying natural rate of … benchmark model that does not account for changes in trend inflation and trend unemployment. …

strategies may be well described by Taylor rules with a time-varying inflation target, a time-varying natural rate of … currencies considered, outperforming a benchmark model that does not account for changes in trend inflation and trend …