Purpose: This study investigates the comovements of inflation across ASEAN countries and identifies the global factors driving the common inflation dynamics of the region. Design/methodology/approach: The study uses a two-step approach. The dynamic latent factor model is first employed to...

We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence of quantile factors allows for summarizing these two heterogeneities in a...