Inflation in the most industrialized economies of the world has an important international common component that accounts for the historical decline in the national rates. Country specific conditions explain the rise in inflation volatility of the late 1970s and early 1980s, and the subsequent...

Several industrialised countries have had a similar inflation experience in the past 30 years, with inflation high and volatile in the 1970s and the 1980s but low and stable in the most recent period. We explore the dynamics of inflation in these countries via a time-varying factor model. This...

Using a dynamic factor model, we uncover four main empirical or international comovements in a long-run panel of real and nominal variables. First, the countribution of world comovements to domestic output growth has decreased over the post-WWII period. The contribution of regional comovements,...

Monetary policy, the yield curve and the private sector behaviour of the US economy are modelled as a time-varying structural vector autoregression. The monetary policy shocks of the early 1980s explain a large portion of the persistence of inflation and the level of the term structure. Changes...

The conduct of monetary policy, the term structure of interest rates and the structure of the economy in the UK have changed over the post-WWII period. We model the interaction between the macroeconomy and financial markets using a time-varying VAR augmented with the factors from the yield...

Using a dynamic factor model, we uncover four main empirical regularities on international comovements in a long-run panel of real and nominal variables. First, the contribution of world comovements to domestic output growth has decreased over the post-WWII period. The contribution of regional...

The empirical literature on the transmission of international shocks is based on "small"-scale VARs. In this paper, we use a "large" panel of data for 17 industrialized countries to investigate the international transmission mechanism, and revisit the anomalies that arise in the empirical...

This paper models the evolution of monetary policy, the term structure of interest rates and the UK economy across policy regimes. We model the interaction between the macroeconomy and the term structure using a time-varying VAR model augmented with the factors from the yield curve. Our results...

Using a dynamic factor model, we uncover four main empirical regularities on international comovements in a long-run panel of real and nominal variables. First, the contribution of world comovements to domestic output growth has decreased over the post-WWII period. The contribution of regional...

Using a dynamic factor model, we uncover four main empirical regularities on international comovements in a long-run panel of real and nominal variables. First, the contribution of world comovements to domestic output growth has decreased over the post-WWII period. The contribution of regional...