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However, inflation volatility has been typically neglected, although it is clearly relevant both from a policy point of view and for structural analysis and forecasting. We study the evolution of inflation rates in several countries, using a novel model that allows for commonality in both levels and volatilities, in addition to country\u2010specific components. We find that inflation volatility is indeed important, and a substantial fraction of it can be attributed to a global factor that is also driving inflation levels and their persistence. The extent of commonality among core inflation rates and volatilities is substantially smaller than for overall inflation, which leaves scope for national monetary policies. Finally, we show that the point and density forecasting performance of the model is good relative to standard benchmarks, which provides additional evidence on its reliability.<\/jats:p>","DOI":"10.1002\/jae.2896","type":"journal-article","created":{"date-parts":[[2022,3,11]],"date-time":"2022-03-11T03:49:40Z","timestamp":1646970580000},"page":"700-721","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":71,"title":["The global component of inflation volatility"],"prefix":"10.1002","volume":"37","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-4409-2870","authenticated-orcid":false,"given":"Andrea","family":"Carriero","sequence":"first","affiliation":[{"name":"Queen Mary University of London  London UK"},{"name":"University of Bologna  Bologna Italy"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-4866-0801","authenticated-orcid":false,"given":"Francesco","family":"Corsello","sequence":"additional","affiliation":[{"name":"Bank of Italy  Rome Italy"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-8737-2768","authenticated-orcid":false,"given":"Massimiliano","family":"Marcellino","sequence":"additional","affiliation":[{"name":"IGIER and CEPR Bocconi University  Milan Italy"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2022,3,26]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.96.4.1293"},{"issue":"1","key":"e_1_2_9_3_1","first-page":"387","article-title":"Measuring the effects of monetary policy: A factor\u2010augmented vector autoregressive FAVAR approach","volume":"120","author":"Bernanke B. 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