International Co-Movements of Inflation, 1851-1913

34 Pages Posted: 15 Mar 2021

See all articles by Stefan Gerlach

Stefan Gerlach

Central Bank of Ireland; Centre for Economic Policy Research (CEPR)

Rebecca Stuart

Central Bank of Ireland

Date Written: March 2021

Abstract

We study co-movements of inflation in a group of 15 countries before and during the classical Gold Standard by fitting a generalisation of the Ciccarelli-Mojon (2010) model on annual data spanning 1851-1913. We find that international inflation functions as an "attractor" for domestic inflation rates. The cross-sectional dispersion of inflation declined gradually over the sample and Bai-Perron tests for structural breaks at unknown points in time suggest that there are breaks in six of reduced-form inflation equations. However, sub-sample estimates indicate that the overall finding that international inflation is an important influence on domestic inflation.

JEL Classification: E31, F40, N10

Suggested Citation

Gerlach, Stefan and Stuart, Rebecca, International Co-Movements of Inflation, 1851-1913 (March 2021). Available at SSRN: https://ssrn.com/abstract=3805337

Stefan Gerlach (Contact Author)

Central Bank of Ireland ( email )

P.O. Box 559
Dame Street
Dublin, 2
Ireland

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

Rebecca Stuart

Central Bank of Ireland ( email )

P.O. Box 559
Dame Street
Dublin, 2
Ireland

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