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Title:International comovements, business cycle and inflation: A historical perspective PDF Logo
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

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