Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/238297 
Year of Publication: 
2021
Series/Report no.: 
IRENE Working Paper No. 21-02
Publisher: 
University of Neuchâtel, Institute of Economic Research (IRENE), Neuchâtel
Abstract: 
We study co-movements of inflation in a group of 15 countries before and during the classical Gold Standard by fitting a generalisation of the Ciccarelli-Mojon (2010) model on annual data spanning 1851-1913. We find that international inflation functions as an "attractor" for domestic inflation rates. The cross-sectional dispersion of inflation declined gradually over the sample and Bai-Perron tests for structural breaks at unknown points in time suggest that there are breaks in six of reduced-form inflation equations. However, sub-sample estimates indicate that the overall finding that international inflation is an important influence on domestic inflation.
Subjects: 
international inflation
Gold standard
principal components
factor analysis
JEL: 
E31
F40
N10
Document Type: 
Working Paper

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