International vulnerability of inflation
通货膨胀的国际脆弱性AI 解读 ↓
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AI 根据所提供的论文材料归类：摘要明确使用动态因子模型分析月度通胀，并开展滚动样本外预测。
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通货膨胀的国际脆弱性
- 研究问题
- 国内通胀分布的高低尾部在多大程度上受国际条件影响，这种影响如何随国家发展水平和近期高通胀环境变化。
- 方法与思路
- 作者从具有重叠国家分组的多层动态因子模型提取国际因子，加入分位数回归，构建通胀与通缩风险度量并做滚动预测。
- 材料陈述的贡献
- 摘要称，多数发达国家的国际因素更能解释通胀右尾；低收入国家影响较弱，中等收入国家结果混合，近期预测作用增强。
- 阅读关注点
- 应核对因子分层与重叠分组的识别、风险度量对应的分位点，以及滚动样本外比较如何处理信息可得性和基准选择。
- 阅读边界
- 这是 arXiv 预印本，不能据此认定已同行评审或期刊接收；摘要未给出效应大小和预测误差，分布解释不等同于因果识别。
原文摘要
In a globalised world, inflation in a given country may be becoming less responsive to domestic economic activity, while being increasingly determined by international conditions. Consequently, understanding the international sources of vulnerability of domestic inflation is turning fundamental for policy makers. In this paper, we propose the construction of Inflation-at-risk and Deflation-at-risk measures of vulnerability obtained using factor-augmented quantile regressions estimated with international factors extracted from a multi-level Dynamic Factor Model with overlapping blocks of inflations corresponding to economies grouped either in a given geographical region or according to their development level. The methodology is implemented to inflation observed monthly from 1999 to 2022 for over 115 countries. We conclude that, in a large number of developed countries, international factors are relevant to explain the right tail of the distribution of inflation, and, consequently, they are more relevant for the vulnerability related to high inflation than for average or low inflation. However, while inflation of developing low-income countries is hardly affected by international conditions, the results for middle-income countries are mixed. Finally, based on a rolling-window out-of-sample forecasting exercise, we show that the predictive power of international factors has increased in the most recent years of high inflation.