Global stochastic trends in growth, interest and inflation. Is the post-Bretton-Woods era driven by the Volcker disinflation?
AbstractThis note aims to identify the stable long-run relationships as well as unstable driving forces of the world economy using an aggregated approach involving the four largest currency blocks. The small global macromodel encompasses aggregated quarterly US, UK, Japanese and Euro Area data for the post-Bretton-Woods era. Three stable long-run relationships are found: output growth, the global term spread and an inflation climate measure. The common stochastic trend of the global economy is found to be dominated by real short-term interest rate shocks, reflecting the strong increase of the global real rates during the Volcker disinflation period as a dominating event of the last 40 years of macro history.
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Bibliographic InfoPaper provided by Department of Economics, University of Kent in its series Studies in Economics with number 1322.
Date of creation: Dec 2013
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Postal: Department of Economics, University of Kent at Canterbury, Canterbury, Kent, CT2 7NP
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Find related papers by JEL classification:
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- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
This paper has been announced in the following NEP Reports:
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- NEP-CBA-2013-12-29 (Central Banking)
- NEP-MON-2013-12-29 (Monetary Economics)
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