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标题：Inflation and globalisation: a dynamic factor model with stochastic volatility
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作者：Joseph P. Byrne, Fatima Kaneez ; Alexandros Kontonikas
期刊名称：Departmental Discussion Papers / University of Glasgow, Department of Economics
出版年度：2010
卷号：1
出版社：University of Glasgow, Department of Economics
摘要：National inflation rates reflect domestic and international (regional and global) influences. The relative importance of these components remains a controversial empirical issue. We extend the literature on inflation co-movement by utilising a dynamic factor model with stochastic volatility to account for shifts in the variance of inflation and endogenously determined regional groupings. We find that most of inflation variability is explained by the country specific disturbance term. Nevertheless, the contribution of the global component in explaining industrialised countries’ inflation rates has increased over time.
关键词：Inflation, Dynamic Factor Model, Stochastic Volatility, Globalisation