@techreport{Mumtaz2009International,
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.},
address = {London},
author = {Haroon Mumtaz and Saverio Simonelli and Paolo Surico},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {E30; F40; N10; 330; output growth; inflation; geographic identification; dynamic factor model; Konjunkturzusammenhang; Wirtschaftswachstum; Inflationsrate; Wirtschaftsgeschichte; Welt},
language = {eng},
number = {28},
publisher = {Bank of England, Monetary Policy Committee},
title = {International comovements, business cycle and inflation: A historical perspective},
type = {External MPC unit discussion paper},
url = {http://hdl.handle.net/10419/50651},
year = {2009}
}
