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International transmission of inflation among G-7 countries: a data-determined VAR analysis

Listed author(s):
  • Jian Yang
  • Hui Guo
  • Zijun Wang

We investigate the international transmission of inflation among G-7 countries using a data-determined vector autoregression analysis, as advocated by Swanson and Granger (1997). Over the period 1973 to 2003, we find that U.S. innovations have a large effect on inflation in the other countries, although they are not always the dominant international factor. Similarly, shocks to some other countries also have a statistically and economically significant influence on U.S. inflation. Moreover, our evidence indicates that U.S. inflation has become less vulnerable to foreign shocks since the early 1990s, mainly because of the diminished influence from Germany and France

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Paper provided by Federal Reserve Bank of St. Louis in its series Working Papers with number 2004-028.

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Date of creation: 2004
Handle: RePEc:fip:fedlwp:2004-028
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