Structural Breaks in the International Dynamics of Inflation
提出一种迭代方法区分方程组系数和扰动协方差矩阵的结构性断点，并用于分析G7和欧元区国家短期通胀关系的断点，发现欧元区引领北美通胀，且欧元区内国家从1980年代的独立波动转向1990年代末的协同波动。
This paper proposes an iterative procedure to discriminate between structural breaks in the coefficients and the disturbance covariance matrix of a system of equations, with recursive procedures then identifying individual coefficient shifts and separating volatility from correlation breaks. Structural breaks in short-term cross-country inflation relations are then examined for major G-7 economies and within the euro area. There is evidence that the euro area leads inflation in North America, while changing short-term interactions apply within the euro area. Covariability generally increases from the late 1990s, while euro-area countries move from essentially idiosyncratic contemporaneous variation to comovement in the 1980s.