|
EconStor >
Bank of England, London >
External Monetary Policy Committee Unit, Bank of England >
External MPC Unit Discussion Papers, Bank of England >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/50651
|
| | |
| Title: | | International comovements, business cycle and inflation: A historical perspective  |
| Authors: | | Mumtaz, Haroon Simonelli, Saverio Surico, Paolo |
| Issue Date: | | 2009 |
| Series/Report no.: | | External MPC unit discussion paper 28 |
| 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. |
| Subjects: | | output growth inflation geographic identification dynamic factor model |
| JEL: | | E30 F40 N10 |
| Document Type: | | Working Paper |
| Appears in Collections: | | External MPC Unit Discussion Papers, Bank of England
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/50651
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|