International Co-movements of Inflation, 1851-1913
Stefan Gerlach and
Rebecca Stuart ()
No 21-02, IRENE Working Papers from IRENE Institute of Economic Research
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)
Pages: 31 pages.
New Economics Papers: this item is included in nep-his, nep-mac and nep-mon
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Working Paper: International Co-movements of Inflation, 1851-1913 (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:irn:wpaper:21-02
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