Drivers and Spillover Effects of Inflation: the United States, the Euro Area, and the United Kingdom
Stephen Hall (),
George Tavlas () and
Additional contact information
Yongli Wang: University of Birmingham
Discussion Papers from Department of Economics, University of Birmingham
We investigate the drivers of the recent inflation in three currency areas: the United States, the euro area, and the United Kingdom. To do so, we use a VAR set-up to examine the nature of the shocks that underpinned the recent inflation. We apply two methods to calculate shocks -- the standard Cholesky decomposition and a new method that captures more realistic shocks by solving the VAR backwards. We also use spatial modelling to investigate cross-country inflation spillovers. We find the inflationary shocks in the United States are transmitted to the euro area and the United Kingdom in a powerful and consistent way. The euro area transmits inflation to the other regions but to a lesser extent, while the inflation in the United Kingdom has little effect on the other two regions.
Keywords: Inflation; VAR analysis; impulse responses; spatial spillovers (search for similar items in EconPapers)
JEL-codes: C52 C53 (search for similar items in EconPapers)
Pages: 45 pages
New Economics Papers: this item is included in nep-ban, nep-eec, nep-mon and nep-opm
References: View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
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:bir:birmec:22-13
Access Statistics for this paper
More papers in Discussion Papers from Department of Economics, University of Birmingham Contact information at EDIRC.
Bibliographic data for series maintained by Oleksandr Talavera ().