Global Inflation Synchronization

41 Pages Posted: 8 Mar 2019 Last revised: 9 Mar 2019

See all articles by Jongrim Ha

Jongrim Ha

World Bank

M. Ayhan Kose

Development Prospects Group at the World Bank

Franziska Ohnsorge

World Bank

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Date Written: March 7, 2019

Abstract

The paper studies the extent of global inflation synchronization using a dynamic factor model in a large set of countries over a half century. The authors' methodology allows them to account for differences across groups of countries (advanced economies and emerging market and developing economies) and to analyze commonalities in inflation synchronization across a wide range of inflation measures. The paper reports three major results. First, inflation movements have become increasingly synchronized internationally over time: a common global factor has accounted for about 22 percent of variation in national inflation rates since 2001. Second, inflation synchronization has also become more broad-based: while it was previously much more pronounced among advanced economies than among emerging market and developing economies, it has become substantial in both groups over the past two decades. In addition, inflation synchronization has become significant across all inflation measures since 2001, whereas it was previously prominent only for inflation measures that included mostly tradable goods.

Suggested Citation

Ha, Jongrim and Kose, M. Ayhan and Ohnsorge, Franziska, Global Inflation Synchronization (March 7, 2019). World Bank Policy Research Working Paper No. 8768. Available at SSRN: https://ssrn.com/abstract=3348771

Jongrim Ha (Contact Author)

World Bank ( email )

1818 H Street, NW
Washington, DC 20433
United States

M. Ayhan Kose

Development Prospects Group at the World Bank ( email )

1818 H Street, NW
Washington, DC 20433
United States

Franziska Ohnsorge

World Bank ( email )

1818 H Street, NW
Washington, DC 20433
United States

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