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Stylized Facts of Prices and Interest Rates over the Business Cycle

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Author Info

  • Ioanna Konstantakopoulou

    ()
    (Athens University of Economics and Business)

  • Eftymios Tsionas

    ()
    (Athens University of Economics and Business)

  • Tryphon Kollintzas

    ()
    (Athens University of Economics and Business)

Abstract

This 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 Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 29 (2009)
Issue (Month): 4 ()
Pages: 2613-2627

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Handle: RePEc:ebl:ecbull:eb-09-00474

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Keywords: business cycles; stylized facts;

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Cited by:
  1. Joseph Haslag & William Brock, 2014. "On Understanding the Cyclical Behavior of the Price Level and Inflation," Working Papers 1404, Department of Economics, University of Missouri, revised 01 Jul 2014.

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