Advanced Search
MyIDEAS: Login to save this paper or follow this series

Global stochastic trends in growth, interest and inflation. Is the post-Bretton-Woods era driven by the Volcker disinflation?

Contents:

Author Info

  • Reinhold Heinlein

    ()

  • Hans-Martin Krolzig

    ()

Registered author(s):

    Abstract

    This 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.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: ftp://ftp.ukc.ac.uk/pub/ejr/RePEc/ukc/ukcedp/1322.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by Department of Economics, University of Kent in its series Studies in Economics with number 1322.

    as in new window
    Length:
    Date of creation: Dec 2013
    Date of revision:
    Handle: RePEc:ukc:ukcedp:1322

    Contact details of provider:
    Postal: Department of Economics, University of Kent at Canterbury, Canterbury, Kent, CT2 7NP
    Phone: +44 (0)1227 764000
    Fax: +44 (0)1227 827850
    Web page: http://www.ukc.ac.uk/economics/

    Order Information:
    Email:

    Related research

    Keywords: Cointegration; Real interest rates; Volcker disinflation; Multi-country model; Divisia index;

    Find related papers by JEL classification:

    This paper has been announced in the following NEP Reports:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:ukc:ukcedp:1322. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Emma Robinson).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.