Structural breaks in the international dynamics of inflation

Research output: Contribution to journalArticlepeer-review


This paper proposes an iterative procedure to discriminate between structural breaks in the coefficients and the disturbance covariance matrix of a system of equations, with recursive procedures then identifying individual coefficient shifts and separating volatility from correlation breaks. Structural breaks in short-term cross-country inflation relations are then examined for major G-7 economies and within the euro area. There is evidence that the euro area leads inflation in North America, while changing short-term interactions apply within the euro area. Covariability generally increases from the late 1990s, while euro-area countries move from essentially idiosyncratic contemporaneous variation to comovement in the 1980s.

Bibliographical metadata

Original languageEnglish
Pages (from-to)646-659
Number of pages13
JournalReview of Economics and Statistics
Issue number2
Publication statusPublished - 2013