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International Comovements, Business Cycle and Inflation: a Historical Perspective

Haroon Mumtaz, Saverio Simonelli and Paolo Surico ()

CSEF Working Papers from Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy

Abstract: 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
Date: 2009-07-10
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Published in Review of Economic Dynamics , 2011, vol. 14(1), pp. 176-198

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http://www.csef.it/WP/wp233.pdf (application/pdf)

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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