Structural Breaks in the International Dynamics of Inflation
Allbwn ymchwil: Cyfraniad at gyfnodolyn › Erthygl › adolygiad gan gymheiriaid
Fersiynau electronig
Dangosydd eitem ddigidol (DOI)
This paper proposes an iterative procedure to discriminate between structural breaks in the coefficients and the disturbance covariance matrix of a system of equations, with recursive procedures then identifying individual coefficient shifts and separating volatility from correlation breaks. Structural breaks in short-term cross-country inflation relations are then examined for major G-7 economies and within the euro area. There is evidence that the euro area leads inflation in North America, while changing short-term interactions apply within the euro area. Covariability generally increases from the late 1990s, while euro-area countries move from essentially idiosyncratic contemporaneous variation to comovement in the 1980s.
| Iaith wreiddiol | Saesneg |
|---|---|
| Tudalennau (o-i) | 646-659 |
| Cyfnodolyn | Review of Economics and Statistics |
| Cyfrol | 95 |
| Rhif y cyfnodolyn | 2 |
| Dynodwyr Gwrthrych Digidol (DOIs) | |
| Statws | Cyhoeddwyd - 1 Mai 2013 |
| Cyhoeddwyd yn allanol | Ie |