Structural Breaks in the International Dynamics of Inflation

Research output: Contribution to journalArticlepeer-review

Standard Standard

Structural Breaks in the International Dynamics of Inflation. / Bataa, Erdenebat; Osborn, Denise R; Sensier, Marianne et al.
In: Review of Economics and Statistics, Vol. 95, No. 2, 01.05.2013, p. 646-659.

Research output: Contribution to journalArticlepeer-review

HarvardHarvard

Bataa, E, Osborn, DR, Sensier, M & Van Dijk, D 2013, 'Structural Breaks in the International Dynamics of Inflation', Review of Economics and Statistics, vol. 95, no. 2, pp. 646-659. https://doi.org/10.1162/REST_a_00261

APA

Bataa, E., Osborn, D. R., Sensier, M., & Van Dijk, D. (2013). Structural Breaks in the International Dynamics of Inflation. Review of Economics and Statistics, 95(2), 646-659. https://doi.org/10.1162/REST_a_00261

CBE

Bataa E, Osborn DR, Sensier M, Van Dijk D. 2013. Structural Breaks in the International Dynamics of Inflation. Review of Economics and Statistics. 95(2):646-659. https://doi.org/10.1162/REST_a_00261

MLA

VancouverVancouver

Bataa E, Osborn DR, Sensier M, Van Dijk D. Structural Breaks in the International Dynamics of Inflation. Review of Economics and Statistics. 2013 May 1;95(2):646-659. doi: 10.1162/REST_a_00261

Author

Bataa, Erdenebat ; Osborn, Denise R ; Sensier, Marianne et al. / Structural Breaks in the International Dynamics of Inflation. In: Review of Economics and Statistics. 2013 ; Vol. 95, No. 2. pp. 646-659.

RIS

TY - JOUR

T1 - Structural Breaks in the International Dynamics of Inflation

AU - Bataa, Erdenebat

AU - Osborn, Denise R

AU - Sensier, Marianne

AU - Van Dijk, Dick

PY - 2013/5/1

Y1 - 2013/5/1

N2 - 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.

AB - 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.

U2 - 10.1162/REST_a_00261

DO - 10.1162/REST_a_00261

M3 - Article

VL - 95

SP - 646

EP - 659

JO - Review of Economics and Statistics

JF - Review of Economics and Statistics

SN - 0034-6535

IS - 2

ER -