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International Co-movements of Inflation, 1851-1913

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  • Stefan Gerlach
  • Rebecca Stuart

Abstract

We study co-movements of inflation in a group of 15 countries before and during the classical Gold Standard by fitting a generalisation of the Ciccarelli-Mojon (2010) model on annual data spanning 1851-1913. We find that international inflation functions as an "attractor" for domestic inflation rates. The cross-sectional dispersion of inflation declined gradually over the sample and Bai-Perron tests for structural breaks at unknown points in time suggest that there are breaks in six of reduced-form inflation equations. However, sub-sample estimates indicate that the overall finding that international inflation is an important influence on domestic inflation.

Suggested Citation

  • Stefan Gerlach & Rebecca Stuart, 2021. "International Co-movements of Inflation, 1851-1913," IRENE Working Papers 21-02, IRENE Institute of Economic Research.
    • Handle: RePEc:irn:wpaper:21-02
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    References listed on IDEAS

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    Cited by:

    1. Niko Hauzenberger & Daniel Kaufmann & Rebecca Stuart & Cédric Tille, 2022. "What Drives Long-Term Interest Rates? Evidence from the Entire Swiss Franc History 1852-2020," IRENE Working Papers 22-03, IRENE Institute of Economic Research.
    2. Koester, Gerrit & Lis, Eliza & Nickel, Christiane & Osbat, Chiara & Smets, Frank, 2021. "Understanding low inflation in the euro area from 2013 to 2019: cyclical and structural drivers," Occasional Paper Series 280, European Central Bank.
    3. Stefan Gerlach & Rebecca Stuart, 2021. "Commodity Prices and Global Inflation, 1851-1913," IRENE Working Papers 21-07, IRENE Institute of Economic Research.

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    More about this item

    Keywords

    international inflation; Gold standard; principal components; factor analysis.;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General
    • N10 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - General, International, or Comparative

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