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Puzzling Global Stochastic Trends in Growth, Interest and Inflation and the Volcker Disinflation

Heinlein, Reinhold, Krolzig, Hans-Martin (2018) Puzzling Global Stochastic Trends in Growth, Interest and Inflation and the Volcker Disinflation. The Manchester School, 86 (2). pp. 178-194. ISSN 1463-6786. (doi:10.1111/manc.12175) (KAR id:62160)

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This paper aims to identify the stable long?run relationships as well as unstable driving forces of the world economy using a small aggregated cointegrated VAR model encompassing quarterly US, UK, Japanese and Euro Area data for the post?Bretton?Woods era. Three stable long?run relationships are found: output growth, the term spread and the inflation climate. The common stochastic trend of the global macro economy is dominated by the cumulated real short?term interest rate shocks, reflecting the strong increase of global real rates during the Volcker disinflation period, one of the dominating events of the last 40 years of macro history.

Item Type: Article
DOI/Identification number: 10.1111/manc.12175
Uncontrolled keywords: Cointegration; Real interest rates; Volcker disinflation; Multi-country model; Divisia index
Divisions: Divisions > Division of Human and Social Sciences > School of Economics
Depositing User: Hans-Martin Krolzig
Date Deposited: 28 Jun 2017 09:28 UTC
Last Modified: 16 Feb 2021 13:46 UTC
Resource URI: (The current URI for this page, for reference purposes)
Krolzig, Hans-Martin:
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