International transmission of inflation among G-7 countries
Subtitle: a data-determined var analysis
By: by Jian Yang, Hui Guo, and Zijun Wang.
Contributors: Guo, Hui.; Wang, Zijun.
Series: Working paper ;; 2004-028A; Working paper (Federal Reserve Bank of St. Louis : Online) ;; 2004-028A.
Publisher: Federal Reserve Bank of St. Louis
Published: 2004
Place of publication: [St. Louis, Mo.]
Language: eng
Format: Electronic resource
Subjects: Inflation (Finance); Inflation (Finance) -- United States
Description: "We investigate the international transmission of inflation among G-7 countries using a data-determined vector autoregression analysis, as advocated by Swanson and Granger (1997).  Over the period 1973 to 2003, we find that U.S.  innovations have a large effect on inflation in the other countries, although they are not always the dominant international factor.  Similarly, shocks to some other countries also have a statistically and economically significant influence on U.S. inflation.  Moreover, our evidence indicates that U.S. inflation has become less vulnerable to foreign shocks since the early 1990s, mainly because of the diminished influence from Germany and France"--Federal Reserve Bank of St. Louis web site.
Notes: Includes bibliographical references.
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