Stylized Facts of Prices and Interest Rates over the Business Cycle
AbstractThis paper investigates the stylized facts of prices and interest rates over the business cycles in nine OECD countries using quarterly data from 1960 to 2004. We examine the stylized facts used various detrending methods. Our findings confirm the existence of substantive cyclical regularities across countries. In particular, nominal interest rates are procyclical and lag the cycle in the majority of countries; term spread is countercyclical and lags the cycle; prices are countercyclical; inflation is procyclical and lag the cycle.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 29 (2009)
Issue (Month): 4 ()
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business cycles; stylized facts;
Find related papers by JEL classification:
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
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