Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/50651 
Year of Publication: 
2009
Series/Report no.: 
External MPC Unit Discussion Paper No. 28
Publisher: 
Bank of England, External Monetary Policy Committee Unit, London
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

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