Is there inflation transmission across countries?
Paper , Order, or Assignment Requirements
(a) For each of the inflation rate series find an appropriate univariate time series model, using the Box-Jenkins procedure. Briefly comment on your findings. (50 marks)
(b) Estimate a vector autoregressive model for the sample of four countries (US, UK, Japan, and the country of your choice). Evaluate and plot impulse responses, paying attention to the ordering of shocks in Cholesky decomposition. Report and comment on the variance decomposition. Is there evidence of transmission of the transmission of shocks to the inflation rate across countries in your sample? Briefly summarize your findings. (50 marks)