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International Comovements, Business Cycle and Inflation: a Historical Perspective

Listed author(s):
  • Haroon Mumtaz

    (Birkbeck College)

  • Saverio Simonelli

    (University of Naples Federico II)

  • Paolo Surico

    (London Business School)

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 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. (Copyright: Elsevier)

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File URL: http://dx.doi.org/10.1016/j.red.2010.08.002
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Article provided by Elsevier for the Society for Economic Dynamics in its journal Review of Economic Dynamics.

Volume (Year): 14 (2011)
Issue (Month): 1 (January)
Pages: 176-198

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Handle: RePEc:red:issued:09-235
DOI: 10.1016/j.red.2010.08.002
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