International comovements, business cycle and inflation: A historical perspective

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: External MPC Unit Discussion Paper ; No. 28

Classification and Topics

• Classification: Wirtschaft ; Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) ; Macroeconomic Aspects of International Trade and Finance: General ; Economic History: Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations: General, International, or Comparative
• Subject: output growth ; inflation ; geographic identification ; dynamic factor model ; Konjunkturzusammenhang ; Wirtschaftswachstum ; Inflationsrate ; Wirtschaftsgeschichte ; Welt

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Mumtaz, Haroon ; Simonelli, Saverio ; Surico, Paolo
• Event: Veröffentlichung
• (who): Bank of England, External Monetary Policy Committee Unit
• (where): London
• (when): 2009

Further information

• Handle: http://hdl.handle.net/10419/50651
• Last update: 10.03.2025, 11:44 AM CET