@techreport{NBERw15123,
 title = "Globally Correlated Nominal Fluctuations",
 author = "Espen Henriksen and Finn E. Kydland and Roman Sustek",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "15123",
 year = "2009",
 month = "July",
 URL = "http://www.nber.org/papers/w15123",
 abstract = {Cyclical fluctuations in nominal variables—aggregate price levels and nominal interest rates—are documented to be substantially more synchronized across countries than cyclical fluctuations in real output. A transparent mechanism that can account for this striking feature of the nominal environment is highlighted. It is based on (small) cross-country spillovers of shocks and an interaction between Taylor rules and no-arbitrage conditions. The mechanism is quantitatively important for a wide range of plausible parameterizations and is found to be robust to modifications of the economic environment that help account for other important features of domestic and international aggregate fluctuations.},
}