Testing for Common Cycles in Money, Nominal Income and Prices
AbstractIn the first section the authors discuss the nature of cyclical features and the distinction between the traditional analysis of co-movement discussed in the business cycles literature and the more recent common cycles analysis. Section 2 examines the nature of the data used in the estimation procedures and the degree to which the relevant series exhibit stationary and non-staionary features. Section 3 applies correlation methods and the common features test procedure to assess whether common or codependent cyclical patterns can be identified for the relationships considered. The final section provides a summary and brief discussion of the results.
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Bibliographic InfoArticle provided by University of Manchester in its journal The Manchester School.
Volume (Year): 71 (2003)
Issue (Month): Supplement (09)
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Other versions of this item:
- Hall, S. & Sheperd, D., 1999. "Testing for Common Cycles in Money, Nominal Income and Prices," Department of Economics - Working Papers Series 697, The University of Melbourne.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- E25 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Aggregate Factor Income Distribution
- E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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