International Comovements, Business Cycle and Inflation: a Historical Perspective
Saverio Simonelli and
Paolo Surico ()
CSEF Working Papers from Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy
Using a dynamic factor model, we uncover four main empirical regularities on international comovements in a long-run panel of real and nominal variables. First, the contribution 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; in.ation; geographic identi.cation; dynamic factor model (search for similar items in EconPapers)
JEL-codes: E30 F40 N10 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-his, nep-mac and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Published in Review of Economic Dynamics , 2011, vol. 14(1), pp. 176-198
Downloads: (external link)
Journal Article: International Comovements, Business Cycle and Inflation: a Historical Perspective (2011)
Working Paper: International comovements, business cycle and inflation: a historical perspective (2009)
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:sef:csefwp:233
Access Statistics for this paper
More papers in CSEF Working Papers from Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy Contact information at EDIRC.
Bibliographic data for series maintained by Lia Ambrosio ().