Ignacio Garrón, C. Vladimir Rodríguez-Caballero, Esther Ruiz
arXiv 27 Oct 2024 · Econometrics
arXiv:2410.20628 · PDF · DOI · OpenAlex · Extracted main text
In a globalised world, inflation in a given country may be becoming less responsive to domestic economic activity, while being increasingly determined by international conditions. Consequently, understanding the international sources of vulnerability of domestic inflation is turning fundamental for policy makers. In this paper, we propose the construction of Inflation-at-risk and Deflation-at-risk measures of vulnerability obtained using factor-augmented quantile regressions estimated with international factors extracted from a multi-level Dynamic Factor Model with overlapping blocks of inflations corresponding to economies grouped either in a given geographical region or according to their development level. The methodology is implemented to inflation observed monthly from 1999 to 2022 for over 115 countries. We conclude that, in a large number of developed countries, international factors are relevant to explain the right tail of the distribution of inflation, and, consequently, they are more relevant for the vulnerability related to high inflation than for average or low inflation. However, while inflation of developing low-income countries is hardly affected by international conditions, the results for middle-income countries are mixed. Finally, based on a rolling-window out-of-sample forecasting exercise, we show that the predictive power of international factors has increased in the most recent years of high inflation.
appendix boundary found by appendix_command · 91% of the source is main text. Read the extracted text to check this.
The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Ha, J., Kose, M., Ohnsorge, F., and Unsal, F (2019) Understanding global inflation synchronization. in Ha, J. and Kose, M.A. and Ohnsorge, F. (eds.) | 1.000 | 6 | 3 | 100% |
| 2 | Ha, J., Kose, M., and Ohnsorge, F (2023) One-stop source: A global database of inflation | 1.000 | 5 | 3 | 100% |
| 3 | Banerjee, R., Contreras, J., Mehrotra, A., and Zampolli, F (2024) Inflation at risk in advanced and emerging market economies | 0.928 | 4 | 3 | 100% |
| 4 | Forbes, K (2020) Inflation dynamics: Dead, dormant, or determined abroad? | 0.928 | 4 | 3 | 100% |
| 5 | Jorda, O. and Nechio, F (2020) Inflation globaly, In Castex, G. and Gali, J. and Saravia, D. (eds.) | 0.928 | 4 | 3 | 100% |
| 6 | Medeiros, M., Schutte, E., and Soussi, T (2024) Global inflation forecasting | 0.928 | 4 | 3 | 100% |
| 7 | González-Rivera, G., Rodríguez-Caballero, C., and Ruiz, E (2024) Expecting the unexpected: Stresses scenarios for economic growth self | 0.811 | 4 | 2 | 100% |
| 8 | Amburgey, A. and McCracken, M (2022) On the real-time predictive content of financial condition indices for growth | 0.737 | 4 | 2 | 75% |
| 9 | Adrian, T., Boyarchenko, N., and Giannone, D (2019) Vulnerable growth | 0.737 | 3 | 2 | 100% |
| 10 | Tabliabracci, A (2020) Asymmetry in the conditional distribution of euro-area inflation | 0.737 | 3 | 2 | 100% |
Showing the top 10 of 87 scored citations.