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Stylized Facts of Prices and Interest Rates over the Business Cycle

Author

Listed:
  • 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.

Suggested Citation

  • Ioanna Konstantakopoulou & Eftymios Tsionas & Tryphon Kollintzas, 2009. "Stylized Facts of Prices and Interest Rates over the Business Cycle," Economics Bulletin, AccessEcon, vol. 29(4), pages 2613-2627.
  • Handle: RePEc:ebl:ecbull:eb-09-00474
    as

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    References listed on IDEAS

    as
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    Citations

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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.
    2. Alexandra Ferreira-Lopes & Tiago Neves Sequeira, 2012. "Business Cycles Association in a Small Monetary Union: The Case of Switzerland," Spatial Economic Analysis, Taylor & Francis Journals, pages 9-30.
    3. Brock, William A. & Haslag, Joseph H., 2016. "A tale of two correlations: Evidence and theory regarding the phase shift between the price level and output," Journal of Economic Dynamics and Control, Elsevier, vol. 67(C), pages 40-57.
    4. repec:eee:ecosys:v:41:y:2017:i:1:p:98-108 is not listed on IDEAS

    More about this item

    Keywords

    business cycles; stylized facts;

    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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