Szafranek Karol
SGH Warsaw School of Economics, Collegium of Economic Analysis, Poland.
Econ Model. 2021 Jan;94:1-13. doi: 10.1016/j.econmod.2020.09.013. Epub 2020 Sep 21.
Most studies on global inflation are conducted on homogeneous, advanced-economy, low-frequency samples and present evidence favouring the global inflation paradigm. I challenge this consensus view by quantifying price co-movements across a large, heterogeneous sample of countries, while accounting for volatility clustering in monthly inflation data. Estimation results broadly validate the global dimension of inflation but reveal that the strength of the link between global and domestic inflation is time-varying. Price co-movements have continued to be strongest for advanced economies and have increased considerably in emerging economies in recent years. However, they have remained feeble for low-income countries in the last two decades. Inflation synchronization tends to increase due to oil price shocks affecting most economies in a similar way, global economic expansions or recessions spilling over across economies and owing to more coordinated monetary policy of major central banks. Thus, marked price co-movements indicate the prevalence of common factors affecting inflation across countries.
大多数关于全球通胀的研究都是基于同质的发达经济体低频样本进行的，并且提供了支持全球通胀范式的证据。我通过对大量异质国家样本中的价格共同变动进行量化来挑战这一共识观点，同时考虑月度通胀数据中的波动聚集现象。估计结果在很大程度上验证了通胀的全球维度，但也揭示了全球通胀与国内通胀之间联系的强度是随时间变化的。价格共同变动在发达经济体中仍然最为强烈，近年来新兴经济体中的价格共同变动也大幅增加。然而，在过去二十年中，低收入国家的价格共同变动依然微弱。由于油价冲击以类似方式影响大多数经济体、全球经济扩张或衰退在各经济体之间蔓延以及主要央行货币政策更加协调，通胀同步性往往会增强。因此，显著的价格共同变动表明存在影响各国通胀的共同因素。
