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SEMINAR: Economics Seminar

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Today's date is Tuesday, November 24, 2020
Economics Seminar : Structural Breaks in International Inflation Linkages for OECD Countries Other events...
ABSTRACT This paper studies changes in the linkages between domestic inflation for individual OECD countries and corresponding country-specific global inflation series, with the latter calculated as trade-weighted averages of inflation in each country's trading partners. The analysis employs an iterative procedure which tests for breaks in regression coefficients and the residual variance, taking account of outliers. In a dynamic model where monthly domestic consumer price inflation depends on country-specific global inflation, breaks are found in both coefficients and variances for all countries examined, using a sample period of 1970 to 2010. In particular, positive and typically strengthening contemporaneous relationships are found between domestic and global inflation, for both the aggregate and the components of core, energy and food inflation. For a number of European countries and also Canada, increased co-movement operates through core inflation, with food and energy sometimes important, with the latter group including the US.
Speaker(s) Denise Osborn, Robert Ottley Professor of Econometrics, University of Manchester
Location Business School: 1.01 - Don Voelte & Nancy Keegan Case Study Room
Contact Professor Anu Rammohan <[email protected]> : 64885656
Start Fri, 26 Oct 2012 12:00
End Fri, 26 Oct 2012 13:00
Submitted by Anna Wiechecki <[email protected]>
Last Updated Mon, 15 Jul 2013 08:30
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