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International comovements, business cycle and inflation: A historical perspective

Journal

Review of Economic Dynamics

Subject

Economics

Authors / Editors

Surico P;Mumtaz H;Simonelli S

Biographies

Publication Year

2011

Abstract

Using a dynamic factor model, we uncover four main empirical regularities on international comovements in a long-run panel of real and nominal variables. First, the contribution of world comovements to domestic output growth has decreased over the post-WWII period. The contribution of regional comovements, however, has increased significantly. Second, the share of inflation variation due to a global factor has become larger since 1985. Third, over most of the post-WWII period, international comovements within regions have accounted for the bulk of fluctuations in business cycle and inflation. Fourth, prices have become significantly less countercyclical during the post-1984 sample, with the largest contribution due to external developments.

Keywords

Output growth; Inflation; Geographic identification; Dynamic factor model

Available on ECCH

No


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