Arbeitspapier
Synchronization and Changes in International Inflation Uncertainty
We investigate the international linkages of inflation uncertainty in the G7. In a first step, we document that inflation uncertainty in the G7 is intertwined. Moreover, the degree of synchronization has increased during the recent two decades. Second, based on a Factor-Structural Vector Autoregression (FSVAR) model, we provide evidence of a common international shock that drives national inflation uncertainty and which is closely related to oil and commodity price uncertainty. Third, we document that the size of shocks to inflation uncertainty has declined over time paralleling the process of inflation stabilization. Fourth, we analyze whether this decline can be explained by “good policy” or by “good luck”. It appears that domestic shocks translate less extensively into the individual economies. We interpret this finding in favor of the “good policy” hypothesis. Finally, we document that the relative importance of international shocks has increased which explains the higher degree of synchronization in inflation uncertainty among the G7.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 4194
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Classification Methods; Cluster Analysis; Principal Components; Factor Models
Price Level; Inflation; Deflation
Business Fluctuations; Cycles
- Thema
-
inflation uncertainty
Factor-Structural VAR
stochastic volatility
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Henzel, Steffen
Wieland, Elisabeth
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Henzel, Steffen
- Wieland, Elisabeth
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2013
Ähnliche Objekte (12)
Global inflation synchronization
Uncertainty, inflation, and welfare
Inflation, inflation uncertainty and output in Tunisia
Inflation expectation uncertainty, inflation and the output gap
Inflation and inflation uncertainty in the Euro Area
Inflation and inflation uncertainty in the euro area
Inflation and inflation uncertainty in the euro area
Uncertainty bands for inflation forecasts
Model Specification and Inflation Forecast Uncertainty
Monetary policy uncertainty and inflation expectations
Uncertainty About the Persistence of Inflation
The term structure and inflation uncertainty
Global inflation synchronization
Uncertainty, inflation, and welfare
Inflation, inflation uncertainty and output in Tunisia
Inflation expectation uncertainty, inflation and the output gap
Inflation and inflation uncertainty in the Euro Area
Inflation and inflation uncertainty in the euro area
Inflation and inflation uncertainty in the euro area
Uncertainty bands for inflation forecasts
Model Specification and Inflation Forecast Uncertainty
Monetary policy uncertainty and inflation expectations
Uncertainty About the Persistence of Inflation
The term structure and inflation uncertainty
Global inflation synchronization
Uncertainty, inflation, and welfare
Inflation, inflation uncertainty and output in Tunisia
Inflation expectation uncertainty, inflation and the output gap
Inflation and inflation uncertainty in the Euro Area
Inflation and inflation uncertainty in the euro area
Inflation and inflation uncertainty in the euro area
Uncertainty bands for inflation forecasts
Model Specification and Inflation Forecast Uncertainty
Monetary policy uncertainty and inflation expectations
Uncertainty About the Persistence of Inflation