Does global inflation help forecast inflation in industrialized countries?

Ciccarelli and Mojon (CM; Review of Economics and Statistics, 2010, 92(3), 524–535) propose an inflation forecasting model incorporating a global inflation factor and show that it consistently beats several standard forecasting benchmarks. We show that CM's global inflation model does not improve upon the Atkeson and Ohanian (AO; Federal Reserve Bank of Minneapolis Quarterly Review, 2001, 25(1), 2–11) naive benchmark. However, we find that augmenting the AO model with a global inflation factor improves forecast accuracy at longer horizons, supporting CM's claim about the usefulness of global inflation.