Förster, Marcel; Tillmann, Peter - In: Open Economies Review 25 (2014) 5, pp. 841-863
In this paper we reconsider the degree of international comovement of inflation rates. We use a dynamic hierarchical … factor model that is able to decompose Consumer Price Index (CPI) inflation in a panel of countries into (i) a factor common … to all inflation series and all countries, (ii) a factor specific to a given sub-section of the CPI, (iii) a country …