This study detects a structural break in international consumer price index (CPI) inflation comovement. We estimate the dynamic common factor models with unknown breakpoints of cross-country inflation rates and global price index of all commodities. We identify two global factors from the models: a commodity global factor and a noncommodity global factor. The former is a common factor between national inflation rates and commodity price index growth; the latter is a common factor among national inflation rates. The estimation of 29 countries’ quarterly CPI inflation data from 2001:Q1 to 2018:Q2 shows a one-time break in cross-country inflation dynamics in 2008:Q4. Thereafter, the importance of global factors in explaining the national inflation rates is remarkably increased. Furthermore, the increased global inflation synchronization is mainly driven by the larger role of the noncommodity global factor rather than that of the commodity global factor.

本研究检测到国际消费者价格指数 (CPI) 通货膨胀联动的结构性断裂。我们估计跨国通货膨胀率和所有商品的全球价格指数具有未知断点的动态公因子模型。我们从模型中确定了两个全球因素：商品全球因素和非商品全球因素。前者是国家通货膨胀率和商品价格指数增长之间的共同因素；后者是各国通货膨胀率的共同因素。对2001年第一季度至2018年第二季度29个国家季度CPI通胀数据的估计显示，2008年第四季度跨国通胀动态出现一次性中断。此后，全球因素在解释国家通货膨胀率方面的重要性显着增加。此外，