Globally correlated nominal fluctuations

• 成果类型: Article
• 署名作者: Henriksen, Espen; Kydland, Finn E.; Sustek, Roman
• 署名单位: University of California System; University of California Davis; University of California System; University of California Santa Barbara; National Bureau of Economic Research; University of Southampton
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2013.05.006
• 发表日期: 2013
• 页码: 613-631

摘要

Fluctuations in nominal variables-aggregate price levels and nominal interest rates are documented to be substantially more synchronized across countries at business cycle frequencies than fluctuations in real output. A transparent mechanism accounting for this striking feature of the nominal environment is described and quantitatively evaluated. It is based on the interaction between (small) cross-country spillovers of shocks, Taylor rules, and domestic no-arbitrage conditions. The mechanism is robust to various parameterizations and extensions aligning the model with other important aspects of domestic and international fluctuations. Furthermore, its key features are consistent with cross-country forecasts from Consensus survey. (C) 2013 Elsevier B.V. All rights reserved.