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    <title>EconStor Community: Bank of England, London</title>
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  <item rdf:about="http://hdl.handle.net/10419/50651">
    <title>International comovements, business cycle and inflation: A historical perspective</title>
    <link>http://hdl.handle.net/10419/50651</link>
    <description>Title: International comovements, business cycle and inflation: A historical perspective
&lt;br/&gt;
&lt;br/&gt;Authors: Mumtaz, Haroon; Simonelli, Saverio; Surico, Paolo
&lt;br/&gt;
&lt;br/&gt;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.</description>
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  <item rdf:about="http://hdl.handle.net/10419/50650">
    <title>Monetary policies and low-frequency manifestations of the quantity theory</title>
    <link>http://hdl.handle.net/10419/50650</link>
    <description>Title: Monetary policies and low-frequency manifestations of the quantity theory
&lt;br/&gt;
&lt;br/&gt;Authors: Sargent, Thomas J.; Surico, Paolo
&lt;br/&gt;
&lt;br/&gt;Abstract: To detect the quantity theory of money, we follow Lucas (1980) by looking at scatter plots of filtered time series of inflation and money growth rates and interest rates and money growth rates. Like Whiteman (1984), we relate those scatter plots to sums of two-sided distributed lag coefficients constructed from fixed-coefficient and time-varying VARs for US data from 19002005. We interpret outcomes in terms of population values of those sums of coefficients implied by two DSGE models. The DSGE models make the sums of coefficients depend on the monetary policy rule via cross-equation restrictions of a type that Lucas (1972) and Sargent (1971) emphasised in the context of testing the natural unemployment rate hypothesis. When the US data are extended beyond Lucas's 195575 period, the scatter plots mutate in ways that we attribute to prevailing monetary policy rules.</description>
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  <item rdf:about="http://hdl.handle.net/10419/50649">
    <title>Household external finance and consumption</title>
    <link>http://hdl.handle.net/10419/50649</link>
    <description>Title: Household external finance and consumption
&lt;br/&gt;
&lt;br/&gt;Authors: Besley, Timothy; Meads, Neil; Surico, Paolo
&lt;br/&gt;
&lt;br/&gt;Abstract: This paper uses mortgage data to construct a measure of terms on which households access to external finance, and relates it to consumption at both the aggregate and cohort levels. The Household External Finance (HEF) index is based on the spread paid by risky borrowers in the mortgage market. There is evidence that the terms of access to external finance matter more for the consumption of young cohorts in UK data. Results are robust to a wide variety of specifications.</description>
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  <item rdf:about="http://hdl.handle.net/10419/50648">
    <title>Macroeconomic stability and the real interest rate: A cross-country analysis</title>
    <link>http://hdl.handle.net/10419/50648</link>
    <description>Title: Macroeconomic stability and the real interest rate: A cross-country analysis
&lt;br/&gt;
&lt;br/&gt;Authors: Groth, Charlotta; Zampolli, Fabrizio
&lt;br/&gt;
&lt;br/&gt;Abstract: We construct a measure of the short-term world interest rate using principal component analysis. Drawing on real interest rate data for 18 OECD countries for the period 1985 - 2008, persistent deviations from the world interest rate that cannot be explained by movements in the real exchange rate are documented. A theoretical model predicts that these unexplained deviations capture foreign exchange rate risk premia. Using panel data techniques, we test the theoretical prediction that a rise in conditional consumption growth volatility relative to the rest of the world reduces the foreign exchange rate risk premia and, therefore, the real interest rate. Our main result is that wie find a robust and signicant negative relation between the volatility in consumption growth and the level of real interest rates relative to the world interest rate, supporting this hypothesis. We also look at the relation between real interest rates and the net foreign asset position. We test the hypothesis that the empirical negative relation between the two variables captures the relation between real interest rates and macroeconomic volatility, on the one hand, and macroeconomic volatility and the net foreign asset position, on the other hand. Wie are not able to reject this hypothesis.</description>
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