TY  - JOUR
AU  - Henriksen,Espen
AU  - Kydland,Finn E.
AU  - Sustek,Roman
TI  - Globally Correlated Nominal Fluctuations
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 15123
PY  - 2009
Y2  - July 2009
UR  - http://www.nber.org/papers/w15123
L1  - http://www.nber.org/papers/w15123.pdf
N1  - Author contact info:
Espen Henriksen
University of California, Santa Barbara
2127 North Hall
Santa Barbara, CA 93106
E-Mail: espen@econ.ucsb.edu

Finn Kydland
Department of Economics
University of California, Santa Barbara
Santa Barbara, CA 93106-9210
Tel: 805/893-5464
Fax: 805/893-8830
E-Mail: kydland@econ.ucsb.edu

Roman Sustek
Monetary Assessment and Strategy Division
Bank of England
London
E-Mail: Roman.Sustek@bankofengland.co.uk
AB  - 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.
ER  -