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Inflation Globalization and the Fall of Country Specific Fluctuations

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Author Info
Haroon Mumtaz () (Bank of England)
Paolo Surico (Bank of England)
Abstract

Inflation in the most industrialized economies of the world has an important international common component that accounts for the historical decline in the national rates. Country specific conditions explain the rise in inflation volatility of the late 1970s and early 1980s, and the subsequent fall. During the last decade, the world contribution to the variance of inflation has become increasingly more important than national contributions. Monetary policy was a relevant source of country specific fluctuations. Our conclusions are based on a time-varying dynamic factor model applied to a large panel of inflation indicators.

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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2006 with number 166.

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Date of creation: 04 Jul 2006
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Handle: RePEc:sce:scecfa:166

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Related research
Keywords: international inflation world and country factors great moderation

Find related papers by JEL classification:
E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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  2. Jacquier, Eric & Polson, Nicholas G. & Rossi, P.E.Peter E., 2004. "Bayesian analysis of stochastic volatility models with fat-tails and correlated errors," Journal of Econometrics, Elsevier, vol. 122(1), pages 185-212, September. [Downloadable!] (restricted)
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  9. Timothy Cogley & Thomas J. Sargent, 2005. "Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 262-302, April. [Downloadable!] (restricted)
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  13. Romer, David, 1993. "Openness and Inflation: Theory and Evidence," The Quarterly Journal of Economics, MIT Press, vol. 108(4), pages 869-903, November. [Downloadable!] (restricted)
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  14. Ben S. Bernanke & Ilian Mihov, 1995. "Measuring Monetary Policy," NBER Working Papers 5145, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  15. Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 1994. "Bayesian Analysis of Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 371-89, October.
    Other versions:
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