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 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 …

We evaluate the performance of inflation forecasts based on the open-economy Phillips curve by exploiting the spatial … pattern of international propagation of inflation. We model these spatial linkages using global inflation and either domestic … spatial interactions yields significantly more accurate forecasts of local inflation in 14 advanced countries (including the U …

We evaluate the performance of inflation forecasts based on the open-economy Phillips curve by exploiting the spatial … pattern of international propagation of inflation. We model these spatial linkages using global inflation and either domestic … spatial interactions yields significantly more accurate forecasts of local inflation in 14 advanced countries (including the U …

Kabukçuoğlu and Martínez-García (Forthcoming) model local inflation dynamics using global inflation and domestic slack … Martínez-García (Forthcoming) evaluate the pseudo out-of-sample performance of inflation forecasts based on the theoretically …-consistent single-equation forecasting specification implied by theory, exploiting the international linkages of inflation. In this …

We evaluate the performance of inflation forecasts based on the open-economy Phillips curve by exploiting the spatial … pattern of international propagation of inflation. We model these spatial linkages using global inflation and either domestic … incorporating spatial interactions yields significantly more accurate forecasts of local inflation in 14 advanced countries …

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 …