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Heinlein, Reinhold; Krolzig, Hans-Martin (2016)
Publisher: Wiley
Languages: English
Types: Article
Subjects: HB
This paper aims to identify the stable long-run relationships as well as unstable driving forces of the world economy using an aggregated approach involving the four largest currency\ud blocks. The small global cointegrated VAR model encompasses aggregated quarterly US, UK, Japanese and Euro Area data for the post-Bretton-Woods era. Three stable longrun\ud relationships are found: output growth, the term spread and a measure of the inflation climate. The common stochastic trend of the global macro economy is dominated by the\ud cumulated real short-term interest rate shocks, reflecting the strong increase of the global real rates during the Volcker disinflation period as a dominating event of the last 40 years\ud of macro history.
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