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Heinlein, R and Krolzig, H-M (2018) Puzzling global stochastic trends in growth, interest and inflation and the Volcker disinflation. The Manchester School, 86 (2). pp. 178-194. ISSN 1467-9957

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Abstract

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
Additional Information: This is the accepted author manuscript (AAM). The final published version (Heinlein, R. and Krolzig, H.-M. (2016), Puzzling Global Stochastic Trends in Growth, Interest and Inflation and the Volcker Disinflation. The Manchester School) is available online via Wiley at http://dx.doi.org/10.1111/manc.12175. Please refer to any applicable terms of use of the publisher.
Uncontrolled Keywords: Cointegration; Real interest rates; Volcker disinflation; Multi-country model; Divisia index
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Humanities and Social Sciences > Keele Management School
Depositing User: Symplectic
Date Deposited: 24 Oct 2016 08:59
Last Modified: 07 Apr 2021 09:25
URI: https://eprints.keele.ac.uk/id/eprint/2314

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