EVOLVING INTERNATIONAL INFLATION DYNAMICS: WORLD AND COUNTRY‐SPECIFIC FACTORS

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Bayesian Model Comparison for Time-Varying Parameter VARs with Stochastic Volatility (2018, unknown): “Our results thus support the so-called “Sims critique” (see Sims, 2001) that the earlier finding of time variation in VAR coefficients was due to the failure to account for heteroskedasticity in a TVP model with a constant covariance matrix. Our findings also complement the results in Sims and Zha (”
International comovements, business cycle and inflation: A historical perspective (2011, background): “On the empirical side, Ciccarelli and Mojon (2009), Mumtaz and Surico (2009) and Neely and Rapach (2008), among others, have studied the contribution of global in ation to uctuations in national in ation rates.”
The Globalisation of Inflation: The Growing Importance of Global Value Chains (2017, unknown): “This research is related to studies of the global co-movement of inflation (Mumtaz and Surico (2009, 2012), and Ciccarelli and Mojon (2010)).”
Common Drifting Volatility in Large Bayesian VARs (2012, unknown): “In a macro context, in a setup similar to that used in some finance research, Del Negro and Otrok (2008), Liu, Mumtaz, and Theophilopoulou (2014), and Mumtaz and Surico (2012) developed a factor model with stochastic volatility.”