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International transmission of inflation among G-7 countries: a data-determined VAR analysis

Hui Guo (), Zijun Wang and Jian Yang ()

No 2004-028, Working Papers from Federal Reserve Bank of St. Louis

Abstract: We investigate the international transmission of inflation among G-7 countries using a data-determined vector autoregression analysis, as advocated by Swanson and Granger (1997). Over the period 1973 to 2003, we find that U.S. innovations have a large effect on inflation in the other countries, although they are not always the dominant international factor. Similarly, shocks to some other countries also have a statistically and economically significant influence on U.S. inflation. Moreover, our evidence indicates that U.S. inflation has become less vulnerable to foreign shocks since the early 1990s, mainly because of the diminished influence from Germany and France

Keywords: International finance; Time-series analysis (search for similar items in EconPapers)
Date: 2004
New Economics Papers: this item is included in nep-bec, nep-mac and nep-mon
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Journal Article: International transmission of inflation among G-7 countries: A data-determined VAR analysis (2006) Downloads
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