Globally correlated nominal fluctuations
Globally correlated nominal fluctuations
Cyclical fluctuations in nominal variables—aggregate price levels and nominal interest rates—are documented to be substantially more synchronized across countries than cyclical fluctuations in real output. A transparent mechanism that can account for this striking feature of the nominal environment is highlighted. It is based on (small) cross-country spillovers of shocks and an interaction between Taylor rules and no-arbitrage conditions. The mechanism is quantitatively important for a wide range of plausible parameterizations and is found to be robust to modifications of the economic environment that help account for other important features of domestic and international aggregate fluctuations
National Bureau of Economic Research
Henriksen, Espen
1b47ee73-b281-48c8-9457-77fad7de908e
Kydland, Finn E.
41594e46-b757-47f2-af1f-9e5b429e8cd2
Sustek, Roman
9ba777eb-9161-49c3-9a2c-6cc61cb3a092
July 2009
Henriksen, Espen
1b47ee73-b281-48c8-9457-77fad7de908e
Kydland, Finn E.
41594e46-b757-47f2-af1f-9e5b429e8cd2
Sustek, Roman
9ba777eb-9161-49c3-9a2c-6cc61cb3a092
Henriksen, Espen, Kydland, Finn E. and Sustek, Roman
(2009)
Globally correlated nominal fluctuations
(National Bureau of Economic Research, 15123)
Cambridge, US.
National Bureau of Economic Research
44pp.
Record type:
Monograph
(Working Paper)
Abstract
Cyclical fluctuations in nominal variables—aggregate price levels and nominal interest rates—are documented to be substantially more synchronized across countries than cyclical fluctuations in real output. A transparent mechanism that can account for this striking feature of the nominal environment is highlighted. It is based on (small) cross-country spillovers of shocks and an interaction between Taylor rules and no-arbitrage conditions. The mechanism is quantitatively important for a wide range of plausible parameterizations and is found to be robust to modifications of the economic environment that help account for other important features of domestic and international aggregate fluctuations
This record has no associated files available for download.
More information
Published date: July 2009
Organisations:
Economics
Identifiers
Local EPrints ID: 203667
URI: http://eprints.soton.ac.uk/id/eprint/203667
PURE UUID: 2f9c5454-f46b-4293-8848-fe5305f25bc3
Catalogue record
Date deposited: 18 Nov 2011 14:51
Last modified: 10 Dec 2021 19:52
Export record
Contributors
Author:
Espen Henriksen
Author:
Finn E. Kydland
Author:
Roman Sustek
Download statistics
Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.
View more statistics