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Puzzling Global Stochastic Trends in Growth, Interest and Inflation and the Volcker Disinflation

Heinlein, Reinhold; Krolzig, Hans Martin


Hans Martin Krolzig


© 2016 The University of Manchester and John Wiley & Sons Ltd This paper aims to identify the stable long-run relationships as well as unstable driving forces of the world economy using a small aggregated cointegrated VAR model encompassing quarterly US, UK, Japanese and Euro Area data for the post-Bretton-Woods era. Three stable long-run relationships are found: output growth, the term spread and the inflation climate. The common stochastic trend of the global macro economy is dominated by the cumulated real short-term interest rate shocks, reflecting the strong increase of global real rates during the Volcker disinflation period, one of the dominating events of the last 40 years of macro history.


Heinlein, R., & Krolzig, H. M. (2018). Puzzling Global Stochastic Trends in Growth, Interest and Inflation and the Volcker Disinflation. Manchester School, 86(2), 178-194.

Journal Article Type Article
Acceptance Date Sep 7, 2016
Online Publication Date Nov 3, 2016
Publication Date Mar 1, 2018
Deposit Date Sep 18, 2019
Publicly Available Date Sep 19, 2019
Journal Manchester School
Print ISSN 1463-6786
Electronic ISSN 1467-9957
Publisher Wiley
Peer Reviewed Peer Reviewed
Volume 86
Issue 2
Pages 178-194
Public URL


HeinleinKrolzig16 OpenAccess (325 Kb)


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Copyright Statement
This is the peer reviewed version of the following article: Heinlein, R., & Krolzig, H. (2018). Puzzling global stochastic trends in growth, interest and inflation and the Volcker disinflation. Manchester School, 86(2), 178-194. , which has been published in final form at This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving

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