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International Co-movements of Inflation, 1851-1913

Stefan Gerlach and Rebecca Stuart

No 15914, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We study co-movements of inflation in a group of 15 countries before and during the classical Gold Standard by fitting a generalisation of the Ciccarelli-Mojon (2010) model on annual data spanning 1851-1913. We find that international inflation functions as an “attractor†for domestic inflation rates. The cross-sectional dispersion of inflation declined gradually over the sample and Bai-Perron tests for structural breaks at unknown points in time suggest that there are breaks in six of reduced-form inflation equations. However, sub-sample estimates indicate that the overall finding that international inflation is an important influence on domestic inflation.

Keywords: International inflation; Gold standard; Principal components; Factor analysis (search for similar items in EconPapers)
JEL-codes: E31 F40 N10 (search for similar items in EconPapers)
Date: 2021-03
New Economics Papers: this item is included in nep-cba, nep-his, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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