STRUCTURAL BREAKS IN THE INTERNATIONAL DYNAMICS OF INFLATION

• 成果类型: Article
• 署名作者: Bataa, Erdenebat; Osborn, Denise R.; Sensier, Marianne; van Dijk, Dick
• 署名单位: National University of Mongolia; University of Manchester; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/REST_a_00261
• 发表日期: 2013-05
• 页码: 646-659
• 关键词: world

摘要

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.