Structural Breaks in the International Dynamics of Inflation
Erdenebat Bataa (),
Denise Osborn (),
Marianne Sensier and
Dick van Dijk ()
Additional contact information
Marianne Sensier: University of Manchester
The Review of Economics and Statistics, 2013, vol. 95, issue 2, 646-659
This paper proposes an iterative procedure to discriminate between structural breaks in the coefficients and the disturbance covariance matrix of a system of equations, with recursive procedures then identifying individual coefficient shifts and separating volatility from correlation breaks. Structural breaks in short-term cross-country inflation relations are then examined for major G-7 economies and within the euro area. There is evidence that the euro area leads inflation in North America, while changing short-term interactions apply within the euro area. Covariability generally increases from the late 1990s, while euro-area countries move from essentially idiosyncratic contemporaneous variation to comovement in the 1980s. © 2013 The President and Fellows of Harvard College and the Massachusetts Institute of Technology.
Keywords: inflation; international dynamics; structural breaks (search for similar items in EconPapers)
JEL-codes: C32 E31 (search for similar items in EconPapers)
References: Add references at CitEc
Citations: View citations in EconPapers (22) Track citations by RSS feed
Downloads: (external link)
http://www.mitpressjournals.org/doi/pdf/10.1162/REST_a_00261 link to full text PDF (application/pdf)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:tpr:restat:v:95:y:2013:i:2:p:646-659
Ordering information: This journal article can be ordered from
https://mitpressjour ... rnal/?issn=0034-6535
Access Statistics for this article
The Review of Economics and Statistics is currently edited by Amitabh Chandra, Olivier Coibion, Bryan S. Graham, Shachar Kariv, Amit K. Khandelwal, Asim Ijaz Khwaja, Brigitte C. Madrian and Rohini Pande
More articles in The Review of Economics and Statistics from MIT Press
Bibliographic data for series maintained by Ann Olson ().