IDEAS home Printed from https://ideas.repec.org/p/ukc/ukcedp/1322.html
   My bibliography  Save this paper

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

Author

Listed:
  • Reinhold Heinlein
  • Hans-Martin Krolzig

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.

Suggested Citation

  • Reinhold Heinlein & Hans-Martin Krolzig, 2013. "Global stochastic trends in growth, interest and inflation. Is the post-Bretton-Woods era driven by the Volcker disinflation?," Studies in Economics 1322, School of Economics, University of Kent.
    • Handle: RePEc:ukc:ukcedp:1322
    as

    Download full text from publisher

    File URL: https://www.kent.ac.uk/economics/repec/1322.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Cointegration; Real interest rates; Volcker disinflation; Multi-country model; Divisia index;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ukc:ukcedp:1322. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Dr Anirban Mitra (email available below). General contact details of provider: https://www.kent.ac.uk/economics/ .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.