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International Comovements, Business Cycle and Inflation: a Historical Perspective

Author

Listed:
  • Haroon Mumtaz

    (Center for Central Banking Studies, Bank of England)

  • Saverio Simonelli

    (Università di Napoli Federico II, EUI and CSEF)

  • Paolo Surico

    (External MPC unit, Bank of England)

Abstract

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 within 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.

Suggested Citation

  • Haroon Mumtaz & Saverio Simonelli & Paolo Surico, 2009. "International Comovements, Business Cycle and Inflation: a Historical Perspective," CSEF Working Papers 233, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    • Handle: RePEc:sef:csefwp:233
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    References listed on IDEAS

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    More about this item

    Keywords

    output growth; in.ation; geographic identi.cation; dynamic factor model;
    All these keywords.

    JEL classification:

    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • 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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