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.

中文翻译：

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推动通货膨胀和货币政策的全球因素：全球 VAR 评估

在本文中，我们使用经合组织和新兴经济体的全球样本来研究通货膨胀和短期利率的国际联系。我们使用贝叶斯全局向量自回归 (GVAR) 模型表明，对于短期利率，通货膨胀和产出的变动都起着重要作用。然而，在发达国家，外国利率等国际因素似乎是当地利率的重要驱动因素。对于通货膨胀，我们还发现了全球因素重要性的证据，例如其他国家的价格发展、石油价格和汇率。同样，全球因素的这种影响主要出现在发达国家。