Do global shocks drive inflation co-movement in emerging markets? Dynamic factor model with time-varying volatility

Kilic E., Pazarci S., Tarakci D., DELİCE G.

Applied Economics Letters, 2026 (SSCI, Scopus) identifier

  • Yayın Türü: Makale / Kısa Makale
  • Basım Tarihi: 2026
  • Doi Numarası: 10.1080/13504851.2026.2638512
  • Dergi Adı: Applied Economics Letters
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, IBZ Online, ABI/INFORM, EconLit, Geobase, Public Affairs Index
  • Anahtar Kelimeler: dynamic factor model, emerging markets, Inflation, time-varying synchronization
  • Sivas Cumhuriyet Üniversitesi Adresli: Evet

Özet

This study investigates the time-varying nature of inflation co-movement using a dynamic factor model with time-varying variances. A dynamic factor model with time-varying volatility is estimated for a panel of 16 emerging markets during 2001–2024. The results reveal that inflation in emerging markets has become more synchronized due to global shocks such as global financial crises and the COVID-19, but heterogeneity between countries remains.