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DESCRIPTION;ENCODING=QUOTED-PRINTABLE:Aleksandra Zhivaykina (Central Bank of Russia): The role of global relative price changes in international comovement of inflation =0D=0A Co-author: Aleksei Kiselev (Central Bank of Russia) =0D=0A Abstract =0D=0A In this paper we investigate the impact of global relative price changes on domestic inflation. We use a dynamic hierarchical factor model (DHFM) to decompose consumer basket products’ inflation in a panel of countries into (i) a global factor, common to all price series and all countries, (ii) a price change shock at product group level, (iii) a price change shock at product subgroup level, and (iv) an idiosyncratic component. Using monthly data for 29 economies from 2003 to 2018 we find that product inflation rates demonstrate different sensitivity to common price shocks. For energy, some foods and manufactured goods, global relative price changes may account for up to 45% of inflation variation which is quite high for this frequency and level of disaggregation. Moreover, common factors from the DHFM have significant explanatory power for overall CPI and its aggregate components across different countries.=0D=0A  =0D=0A BOFIT seminars are open to all researchers interested in the subjects covered. Those wishing to attend a seminar are kindly asked to register in advance, by email bofit(at)bof.fi or tel. +358 9 183 2268. =0D=0A Seminars take place, as a rule, on Tuesdays, starting at 10.30 a.m.  Visitors are escorted to the seminar room from the Rauhankatu 19 B (Library) entrance. =0D=0A
DTEND:20191001T083000Z
DTSTAMP:20190924T112752Z
DTSTART:20191001T073000Z
LOCATION:Bank of Finland, Rauhankatu 19 B, Helsinki
SUMMARY:Aleksandra Zhivaykina (Central Bank of Russia): The role of global relative price changes in international comovement of inflation
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