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The Comovement between Real Activity and Prices in the G7

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  • Wouter J. den Haan

    ()
    (University of Amsterdam, and University of California, San Diego, USA)

Abstract

In this paper, we study the short-run and long-run comovement between prices and real activity in the G7 countries during the postwar period using vector autoregressive systems and frequency-domain filters. We find several patterns that are robust across countries and time periods. Typically, the correlation coefficients at long-run horizons are significantly negative and the correlation coefficients at short-run horizons are substantially higher. Additionally, there is evidence of positive correlation at short-run forecast horizons for some countries. See publication in the European Economic Review , 2004, 48(6), 1333-47.

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Bibliographic Info

Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 02-092/2.

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Date of creation: 23 Sep 2002
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Handle: RePEc:dgr:uvatin:20020092

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Keywords: Comovement; vector autoregressive models.;

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  1. Wouter J. den Haan, 2002. "The Comovement between Real Activity and Prices in the G7," Tinbergen Institute Discussion Papers 02-092/2, Tinbergen Institute.
  2. Uhlig, H.F.H.V.S. & Ravn, M., 1997. "On Adjusting the H-P Filter for the Frequency of Observations," Discussion Paper 1997-50, Tilburg University, Center for Economic Research.
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  14. Lawrence J. Christiano & Wouter den Haan, 1995. "Small sample properties of GMM for business cycle analysis," Working Paper Series, Macroeconomic Issues 95-3, Federal Reserve Bank of Chicago.
  15. den Haan, Wouter J., 2000. "The comovement between output and prices," Journal of Monetary Economics, Elsevier, vol. 46(1), pages 3-30, August.
  16. Ben S. Bernanke & Ilian Mihov, 1995. "Measuring Monetary Policy," NBER Working Papers 5145, National Bureau of Economic Research, Inc.
  17. Michael R. Pakko, 1997. "The cyclical relationship between output and prices: an analysis in the frequency domain," Working Papers 1997-007, Federal Reserve Bank of St. Louis.
  18. Finn E. Kydland & Edward C. Prescott, 1990. "Business cycles: real facts and a monetary myth," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Spr, pages 3-18.
  19. John Geweke, 1999. "Computational Experiments and Reality," Computing in Economics and Finance 1999 401, Society for Computational Economics.
  20. George Davis & Bryce Kanago, 2002. "The contemporaneous correlation between price shocks and output shocks," Applied Economics, Taylor & Francis Journals, vol. 34(18), pages 2333-2339.
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