International Transmission of Inflation Among G-7 Countries: A Data-Determined VAR Analysis
37 Pages Posted: 29 Jul 2005
Abstract
We investigate the international transmission of inflation among G-7 countries using a data-determined vector autoregression analysis, as advocated by Swanson and Granger (1997). Over the period 1973 to 2003, we find that U.S. innovations have a large effect on inflation in the other countries, although they are not always the dominant international factor. Similarly, shocks to some other countries also have a statistically and economically significant influence on U.S. inflation. Moreover, our evidence indicates that U.S. inflation has become less vulnerable to foreign shocks since the early 1990s, mainly because of the diminished influence from Germany and France.
Keywords: Inflation transmission, directed acyclic graphs, forecast error variance decomposition, recursive estimation, impulse responses
JEL Classification: G15, C32
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
The International Transmission of Inflation
By Michael R. Darby and James R. Lothian
-
The Bretton Woods International Monetary System: An Historical Overview
-
International Transmission Afloat
By James R. Lothian and Michael R. Darby
-
The International Economy as a Source of and Restraint on United States Inflation
-
Has International Financial Integration Increased?
By Lawrence G. Goldberg, James R. Lothian, ...
-
The Gold Standard, Bretton Woods and Other Monetary Regimes: an Historical Appraisal
-
The Internationalization of Money and Finance and the Globalization of Financial Markets
-
Convergence of Financial Structures in Europe: An Application of Factorial Matrix Analysis