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.
International comovements, business cycle and inflation: A historical perspective / Haroon, Mumtaz; Simonelli, Saverio; Paolo, Surico. - In: REVIEW OF ECONOMIC DYNAMICS. - ISSN 1094-2025. - STAMPA. - 14:(2011), pp. 176-198. [10.1016/j.red.2010.08.002]
International comovements, business cycle and inflation: A historical perspective
SIMONELLI, SAVERIO;
2011
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.File | Dimensione | Formato | |
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