@techreport{f5f1765f4c6b4970a8efba6813d1b77b,
title = "How Local is the Local Inflation Factor?: Evidence from Emerging European Countries",
abstract = "We consider whether inflation is a {\textquoteleft}global phenomenon{\textquoteright} for European emerging market economies, as has been claimed for advanced or high-income countries. We find that a global inflation factor accounts for more than a half of the variance in the national inflation rates, and show that forecasting models of national headline inflation rates that include global inflation factors generally produce more accurate path forecasts than Phillips Curve-type models, and models with local inflation factors. Our results are qualitatively unaffected by allowing for sparsity and non-linearity in the factor forecasting models.",
keywords = "Global inflation, Common factors, Variable selection, Global inflation, Common factors, Forecasting, Variable selection",
author = "Oguzhan Cepni and Clements, {Michael P.}",
year = "2021",
language = "English",
series = "Working Paper / Department of Economics. Copenhagen Business School",
publisher = "Copenhagen Business School [wp]",
number = "08-2021",
address = "Denmark",
type = "WorkingPaper",
institution = "Copenhagen Business School [wp]",
}