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Erscheinungsjahr: 
2021
Schriftenreihe/Nr.: 
IRENE Working Paper No. 21-02
Verlag: 
University of Neuchâtel, Institute of Economic Research (IRENE), Neuchâtel
Zusammenfassung: 
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.
Schlagwörter: 
international inflation
Gold standard
principal components
factor analysis
JEL: 
E31
F40
N10
Dokumentart: 
Working Paper

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