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International comovements, business cycle and inflation: a historical perspective

Haroon Mumtaz, Saverio Simonelli and Paolo Surico ()

No 28, Discussion Papers from Monetary Policy Committee Unit, Bank of England

Abstract: Using a dynamic factor model, we uncover four main empirical or international comovements in a long-run panel of real and nominal variables. First, the countribution of world comovements to domestic output growth has decreased over the post-WWII period. The contribution of regional comovements, however, has increased significantly. Second, the share of inflation variation due to a global factor has become larger since 1985. Third, over most of the post-WWII period, international comovements within regions have accounted for the bulk of fluctuations in business cycle and inflation. Fourth, prices have become significantly less countercyclical during the post-1984 sample, with the largest contribution due to external developments.

Keywords: Output growth; inflation; geographic identification; dynamic factor model (search for similar items in EconPapers)
JEL-codes: E30 F40 N10 (search for similar items in EconPapers)
Date: 2009-07-01
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Related works:
Journal Article: International Comovements, Business Cycle and Inflation: a Historical Perspective (2011) Downloads
Working Paper: International Comovements, Business Cycle and Inflation: a Historical Perspective (2009) Downloads
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