International comovements, business cycle and inflation: A historical perspective
Journal
Review of Economic Dynamics
Subject
Economics
Publishing details
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
