International Comovements, Business Cycle and Inflation: a Historical Perspective

Haroon Mumtaz, Saverio Simonelli and Paolo Surico

Review of Economic Dynamics, 2011, vol. 14, issue 1, 176-198

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 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. (Copyright: Elsevier)

Keywords: Output growth; Inflation; Geographic identification; Dynamic factor model (search for similar items in EconPapers)
JEL-codes: E30 F40 N10 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (111)

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Working Paper: International Comovements, Business Cycle and Inflation: a Historical Perspective (2009)
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DOI: 10.1016/j.red.2010.08.002

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