Scandinavian Working Papers in Economics
Working Papers,
Copenhagen Business School, Department of Economics
No 8-2021: How Local is the Local Inflation Factor? Evidence from Emerging European Countries
Oguzhan Cepni () and Michael P. Clements ()
Additional contact information
Oguzhan Cepni: Department of Economics, Copenhagen Business School, Postal: Copenhagen Business School, Department of Economics, Porcelaenshaven 16 A. 1. floor, DK-2000 Frederiksberg, Denmark
Michael P. Clements: ICMA Centre, Henley Business School, University of Reading, Postal: Reading RG6 6BA, United Kingdom
Abstract: We consider whether inflation is a ‘global phenomenon’ for European emerging market economies, as has been claimed for advanced or high-income countries. We find that a global inflation factor accounts for more than a half of the variance in the national inflation rates, and show that forecasting models of national headline inflation rates that include global inflation factors generally produce more accurate path forecasts than Phillips Curve-type models, and models with local inflation factors. Our results are qualitatively unaffected by allowing for sparsity and non-linearity in the factor forecasting models.
Keywords: Global inflation; Common factors; Forecasting; Variable selection
61 pages, March 18, 2021
Full text files
f5f1765f-4c6b-4970-a8ef-ba6813d1b77bFull text
- Copenhagen Business School, Department of Economics
- Ordering Working Papers
- Home page for this series
Questions (including download problems) about the papers in this series should be directed to CBS Library Research Registration Team ()
Report other problems with accessing this service to Sune Karlsson ().
RePEc:hhs:cbsnow:2021_008This page generated on 2024-09-13 22:14:20.