In this seminar Leif will provide an overview of his recent paper, Forecasting output and inflation with global components. The paper confirms, using forecasting experiment, the findings of the correlation study in the Imbs (2010) document that the financial crisis starting in 2007 was the first global recession in decades. Leif’s paper also confirm the findings in a factor model study of the Ciccarelli and Mojon (2010) document. The last study says that the cross country inflation rates are explained by one single global inflation component, and argues that a robust error correction mechanism brings national inflation rates back to global inflation. Leif extends the previous results by showing that the recovery face after the financial crisis has led to a substantial deterioration of cross country output co-movement. Moreover, while national output co-movement can be found to be driven partly by global crisis episodes, national inflation co-movement do not share this pattern. Instead, the distinction in monetary policy regimes across countries seems to account for most of the co-movement results.

Leif Anders Thorsrud is a PhD candidate at the BI Norwegian Business School. He is affiliated with Norges Bank, where he has worked for more than 6 years as a model builder and forecaster.

The CAMA Macroeconomics Brown Bag Seminars offer CAMA speakers, in particular PhD students, an opportunity to present their work in progress in front of their peers, and reputable visitors to showcase their work.