The Correlation between Shocks to Output and the Price Level: Evidence from a Multivariate GARCH Model
AbstractPrevious research indicates that the price-output correlation is time varying. This paper therefore estimates a vector autoregression (VAR) model with a bivariate generalized autoregressive conditional heteroskedasticity (GARCH) error process to obtain quarterly estimates of the price-output correlation for the United States for the period 1876:IV–1999:IV. The estimated correlation is usually positive before 1945 and zero during 1945–1963. Negative correlations become important only after 1963 but do not become obviously more important than zero correlations. Prior to 1945, the estimated correlation typically is positive during both recessions and expansions. After 1945, the estimated correlation remains largely positive during recessions but becomes mainly negative during expansions, suggesting that changes in the sign of the price-output correlation are the result primarily of changes in its sign during expansions.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoArticle provided by Southern Economic Association in its journal Southern Economic Journal.
Volume (Year): 70 (2003)
Issue (Month): 1 (July)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Wouter J. Den Haan & Steven Sumner, 2001.
"The Comovements between Real Activity and Prices in the G7,"
NBER Working Papers
8195, National Bureau of Economic Research, Inc.
- den Haan, Wouter J. & Sumner, Steven W., 2004. "The comovement between real activity and prices in the G7," European Economic Review, Elsevier, vol. 48(6), pages 1333-1347, December.
- Den Haan, Wouter & Sumner, Steven, 2001. "The Comovements between Real Activity and Prices in the G7," CEPR Discussion Papers 2801, C.E.P.R. Discussion Papers.
- Wouter J. den Haan, 2002. "The Comovement between Real Activity and Prices in the G7," Tinbergen Institute Discussion Papers 02-092/2, Tinbergen Institute.
- Olson, Eric & Enders, Walter & Wohar, Mark E., 2012. "An empirical investigation of the Taylor curve," Journal of Macroeconomics, Elsevier, vol. 34(2), pages 380-390.
- George K Davis & Bryce E. Kanago, 2005. "Mismatching Measures of Output and Prices: Implications for Measuring the Comovement of Prices and Output," Macroeconomics 0501005, EconWPA.
- Mauro Gallegati & Antonio Palestrini & Milena Petrini, 2008. "Cyclical Behavior Of Prices In The G7 Countries Through Wavelet Analysis," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 119-130.
- Ho, Kin Yip & Tsui, Albert K.C., 2004. "Analysis of real GDP growth rates of greater China: An asymmetric conditional volatility approach," China Economic Review, Elsevier, vol. 15(4), pages 424-442.
- Aysen Arac & Funda Telatar & Erdinc Telatar, 2012. "Investigating the Time Varying Nature of the Link between Inflation and Currency Substitution in the Turkish Economy," Hacettepe University Department of Economics Working Papers 20122, Hacettepe University, Department of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Laura Razzolini).
If references are entirely missing, you can add them using this form.