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Author Morales-Arias, Leonardo ♦ Moura, Guilherme V.
Source EconStor
Content type Text
Publisher Kiel Institute for the World Economy (IfW)
File Format PDF
Language English
Subject Domain (in DDC) Social sciences ♦ Economics
Subject Keyword global inflation ♦ conditional heteroskedasticity ♦ inflation forecasting ♦ Inflation ♦ Prognoseverfahren ♦ Heteroskedastizität ♦ Multivariate Analyse ♦ Maximum-Likelihood-Methode ♦ Schätzung ♦ G-7-Staaten ♦ Price Level; Inflation; Deflation ♦ Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications ♦ Open Economy Macroeconomics
Abstract This article proposes a multivariate model of inflation with conditionally heteroskedastic common and country-specific components. The model is estimated in one-step via Quasi-Maximum Likelihood for the G7 countries for the period Q1-1960 to Q4-2009. 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 Moderation' and of the 'Great Recession'. The model also shows promising capabilities for forecasting inflation in several countries.
Part of series Kiel Working Paper x1666
Learning Resource Type Article
Publisher Date 2010-01-01
Publisher Place Kiel
Rights Holder