International comovements, business cycle and inflation: A historical perspective

Review of Economic Dynamics

Volumn 14, Issue 1, 2011, Pages 176-198

  Mumtaz, Haroon ^a   Simonelli, Saverio ^b,c,d   Surico, Paolo ^e,f  

^a BANK OF ENGLAND   (United Kingdom)

^b UNIVERSITY OF NAPLES FEDERICO II   (Italy)

^c CSEF   (Italy)

^d EUROPEAN UNIVERSITY INSTITUTE   (Italy)

^e LONDON BUSINESS SCHOOL   (United Kingdom)

^f CEPR   (United Kingdom)

Author keywords

Dynamic factor model; Geographic identification; Inflation; Output growth

Indexed keywords

EID: 78650604340     PISSN: 10942025     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.red.2010.08.002     Document Type: Article

References (31)

1. Artis, M., Okubo, T., 2008. Globalization and business cycle transmission. Centre for Growth and Business Cycle Research Discussion Paper Series 110, Economics, The University of Manchester.
2. Backus D.K., Kehoe P.J. International evidence of the historical properties of business cycles. American Economic Review September 1992, 82(4):864-888.
3. Backus D.K., Kehoe P.J., Kydland F.E. International real business cycles. Journal of Political Economy August 1992, 100(4):745-775.
4. Baldwin, R.E., Martin, P., January 1999. Two waves of globalisation: Superficial similarities, fundamental differences. NBER Working Papers 6904, National Bureau of Economic Research, Inc.
5. Bean, C., 2006. Impact of globalization on monetary policy: commentary. Proceedings, pp. 307-313.
6. Blanchard O.J., Watson M.W. Are business cycles all alike?. The American Business Cycle: Continuity and Change. NBER Chapters March 1986, 123-180. National Bureau of Economic Research, Inc.
7. Bordo M.D., Kydland F.E. The gold standard as a rule: An essay in exploration. Explorations in Economic History October 1995, 32(4):423-464.
8. Borio, C.E.V., Filardo, A., May 2007. Globalisation and inflation: New cross-country evidence on the global determinants of domestic inflation. BIS Working Papers 227, Bank for International Settlements.
9. Burns, A.F., Mitchell, W.C., July 1946. Measuring Business Cycles. No. burn46-1, in: NBER Books. National Bureau of Economic Research, Inc.
10. Carter C., Kohn P. On Gibbs sampling for state space models. Biometrika 2004, 81:541-553.
11. Ciccarelli M., Mojon B. Global inflation. The Review of Economics and Statistics August 2010, 92(3):524-535.
12. Crucini M.J. Country size and economic fluctuations. Review of International Economics 1997, 5(2):204-220.
13. Crucini, M.J., Kose, M.A., Otrok, C., October 2008. What are the driving forces of international business cycles? NBER Working Papers 14380, National Bureau of Economic Research, Inc.
14. Forni M., Reichlin L. Let's get real: A factor analytical approach to disaggregated business cycle dynamics. Review of Economic Studies July 1998, 65(3):453-473.
15. Forni M., Hallin M., Lippi M., Reichlin L. The generalized dynamic-factor model: Identification and estimation. The Review of Economics and Statistics 2000, 82(4):540-554.
16. Gavin W.T., Kydland F.E. Endogenous money supply and the business cycle. Review of Economic Dynamics April 1999, 2(2):347-369.
17. Henriksen, E., Kydland, F.E., Sustek, R., July 2009. The high cross-country correlations of prices and interest rates. NBER Working Papers 15123, National Bureau of Economic Research, Inc.
18. Ireland P.N. Endogenous money or sticky prices?. Journal of Monetary Economics 2003, 50(8):1623-1648.
19. Kim C.-J., Nelson C.R. State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications. MIT Press Books June 1999, vol. 1. The MIT Press.
20. Kollmann R. Explaining international comovements of output and asset returns: The role of money and nominal rigidities. Journal of Economic Dynamics and Control 2001, 25(10):1547-1583.
21. Kose A.M., Otrok C., Whiteman C.H. Understanding the evolution of world business cycles. Journal of International Economics May 2008, 75(1):110-130.
22. Kose, M.A., Otrok, C., Prasad, E.S., October 2008b. Global business cycles: Convergence or decoupling? NBER Working Papers 14292, National Bureau of Economic Research, Inc.
23. Kose M.A., Otrok C., Whiteman C.H. International business cycles: World, region, and country-specific factors. American Economic Review September 2003, 93(4):1216-1239.
24. Mitchell B.R. International Historical Statistics: 3 Volume Set 2008, Palgrave Macmillan, London, pp. 1750-2005.
25. Mumtaz, H., Surico, P., forthcoming. Evolving international inflation dynamics: World and country-specific factors. Journal of the European Economic Association.
26. Neely, C.J., Rapach, D.E., 2008. Is inflation an international phenomenon? Working Papers 2008-025, Federal Reserve Bank of St. Louis.
27. Ravn M.O., Sola M. Stylized facts and regime changes: Are prices procyclical?. Journal of Monetary Economics December 1995, 36(3):497-526.
28. Ravn M.O., Uhlig H. On adjusting the Hodrick-Prescott filter for the frequency of observations. The Review of Economics and Statistics 2002, 84(2):371-375.
29. Rogoff, K.S., 2006. Impact of globalization on monetary policy. Proceedings, pp. 265-305.
30. Smets F., Wouters R. An estimated dynamic stochastic general equilibrium model of the euro area. Journal of the European Economic Association 2003, 1(5):1123-1175.
31. Stock, J.H., Watson, M.W., Aug. 1998. Diffusion indexes. NBER Working Papers 6702, National Bureau of Economic Research, Inc.