Global Factors Driving Inflation and Monetary Policy: A Global VAR Assessment

Feldkircher, Martin ORCID: and Lukmanova, Elizaveta and Tondl, Gabriele (2019) Global Factors Driving Inflation and Monetary Policy: A Global VAR Assessment. Department of Economics Working Paper Series, 289. WU Vienna University of Economics and Business, Vienna.


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In this paper, we examine international linkages in inflation and short-term interest rates using a global sample of OECD and emerging economies. Using a Bayesian global vector autoregression (GVAR) model, we show that for short-term interest rates both movements in inflation and output play an important role. In advanced countries, however, international factors such as foreign interest rates appear as an important driver of local interest rates. For inflation, we also find evidence for the importance of global factors, such as price developments in other countries, oil prices and the exchange rate. Again, this impact of global factors appears predominately in advanced countries.

Item Type: Paper
Keywords: Monetary policy, Inflation, Global VAR
Classification Codes: JEL E40, E43, E44
Divisions: Departments > Volkswirtschaft
Depositing User: Claudia Tering-Raunig
Date Deposited: 07 Aug 2019 09:30
Last Modified: 07 May 2021 16:25


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