Date: 2009
Type: Working Paper
International comovements, business cycle and inflation : a historical perspective
Working Paper, CSEF Working Paper, 2009/233
MUMTAZ, Haroon, SIMONELL, Isaverio, SURICO, Paolo, International comovements, business cycle and inflation : a historical perspective, CSEF Working Paper, 2009/233 - https://hdl.handle.net/1814/42322
Retrieved from Cadmus, EUI Research Repository
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.
Cadmus permanent link: https://hdl.handle.net/1814/42322
Series/Number: CSEF Working Paper; 2009/233
Files associated with this item
Files | Size | Format | View |
---|---|---|---|
There are no files associated with this item. |