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Stylized Facts of Prices and Interest Rates over the Business Cycle

  • Ioanna Konstantakopoulou

    ()

    (Athens University of Economics and Business)

  • Eftymios Tsionas

    ()

    (Athens University of Economics and Business)

  • Tryphon Kollintzas

    ()

    (Athens University of Economics and Business)

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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File URL: http://www.accessecon.com/Pubs/EB/2009/Volume29/EB-09-V29-I4-P14.pdf
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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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  19. Michael Massmann & James Mitchell, 2005. "Reconsidering the Evidence: Are Euro Area Business Cycles Converging?," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2004(3), pages 275-307.
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  21. Fiorito, Riccardo & Kollintzas, Tryphon, 1992. "Stylized Facts of Business Cycles in the G7 from a Real Business Cycles Perspective," CEPR Discussion Papers 681, C.E.P.R. Discussion Papers.
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