Inflation Comovements In Advanced Economies: Facts And Drivers*

In this paper, we analyse inflation comovements and their macroeconomic drivers across a wide set of advanced economies. We find a high degree of inflation interdependence, which is highest for euro area countries, which show strong trade links and share a common monetary policy. In contrast, core inflation interdependence is very limited. We also find that inflation interconnectedness is a medium- to long-run phenomenon. Inflation comovements across countries are well explained by an open economy new Keynesian Phillips curve.