IDEAS home Printed from https://ideas.repec.org/a/ebl/ecbull/eb-09-00474.html
   My bibliography  Save this article

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

    Download full text from publisher

    File URL: http://www.accessecon.com/Pubs/EB/2009/Volume29/EB-09-V29-I4-P14.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Prescott, Edward C., 1986. "Theory ahead of business-cycle measurement," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 11-44, January.
    2. 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.
    3. repec:bla:econom:v:67:y:2000:i:267:p:347-74 is not listed on IDEAS
    4. repec:bla:econom:v:59:y:1992:i:236:p:383-401 is not listed on IDEAS
    5. Dr. James Mitchell, 2003. "Reconsidering the Evidence: Are Eurozone Business Cycles Converging?," National Institute of Economic and Social Research (NIESR) Discussion Papers 210, National Institute of Economic and Social Research.
    6. Victor Zarnowitz, 1992. "Business Cycles: Theory, History, Indicators, and Forecasting," NBER Books, National Bureau of Economic Research, Inc, number zarn92-1.
    7. Backus, David K & Kehoe, Patrick J, 1992. "International Evidence of the Historical Properties of Business Cycles," American Economic Review, American Economic Association, vol. 82(4), pages 864-888, September.
    8. Stock, James H. & Watson, Mark W., 1999. "Business cycle fluctuations in us macroeconomic time series," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 1, pages 3-64, Elsevier.
    9. Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, vol. 7(2), pages 151-174.
    10. Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
    11. Brunner, Karl & Meltzer, Allan H., 1977. "Stabilization of the domestic and international economy," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 5(1), pages 1-6, January.
    12. Fiorito, Riccardo & Kollintzas, Tryphon, 1994. "Stylized facts of business cycles in the G7 from a real business cycles perspective," European Economic Review, Elsevier, vol. 38(2), pages 235-269, February.
    13. Finn E. Kydland & Edward C. Prescott, 1990. "Business cycles: real facts and a monetary myth," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 14(Spr), pages 3-18.
    14. Smith, R Todd, 1992. "The Cyclical Behavior of Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 24(4), pages 413-430, November.
    15. Favero, Carlo A., 2001. "Applied Macroeconometrics," OUP Catalogue, Oxford University Press, number 9780198296850.
    16. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    17. James H. Stock & Mark W. Watson, 1989. "New Indexes of Coincident and Leading Economic Indicators," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409, National Bureau of Economic Research, Inc.
    18. Danthine, Jean-Pierre & Girardin, Michel, 1989. "Business cycles in Switzerland : A comparative study," European Economic Review, Elsevier, vol. 33(1), pages 31-50, January.
    19. Mr. Eswar S Prasad & Mr. Bankim Chadha, 1992. "Are Prices Countercyclical?," IMF Working Papers 1992/088, International Monetary Fund.
    20. Harvey, A C & Jaeger, A, 1993. "Detrending, Stylized Facts and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(3), pages 231-247, July-Sept.
    21. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1.
    22. Cooley, Thomas F. & Ohanian, Lee E., 1991. "The cyclical behavior of prices," Journal of Monetary Economics, Elsevier, vol. 28(1), pages 25-60, August.
    23. Roy H. Webb, 2003. "The cyclical behavior of prices and employee compensation," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 89(Win), pages 69-83.
    24. Massmann, Michael & Mitchell, James, 2003. "Reconsidering the evidence: Are Eurozone business cycles converging," ZEI Working Papers B 05-2003, University of Bonn, ZEI - Center for European Integration Studies.
    25. Lucas, Robert E., 1977. "Understanding business cycles," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 5(1), pages 7-29, January.
    26. Mojon, Benoît & Agresti, Anna Maria, 2001. "Some stylised facts on the euro area business cycle," Working Paper Series 95, European Central Bank.
    27. Cogley, Timothy & Nason, James M., 1995. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research," Journal of Economic Dynamics and Control, Elsevier, vol. 19(1-2), pages 253-278.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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. Guglielmo Maria Caporale & Gloria Claudio-Quiroga & Luis Alberiko Gil-Alana, 2022. "The relationship between prices and output in the UK and the US," SN Business & Economics, Springer, vol. 2(6), pages 1-13, June.
    3. 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, vol. 7(1), pages 9-30, March.
    4. Antonakakis, Nikolaos & Gupta, Rangan & Tiwari, Aviral K., 2017. "The time-varying correlation between output and prices in the United States over the period 1800–2014," Economic Systems, Elsevier, vol. 41(1), pages 98-108.
    5. 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.
    6. Ndou, Eliphas & Gumata, Nombulelo, 2024. "Should the South African Reserve Bank lower the inflation target band? Insights from the GDP-inflation nexus," Journal of Policy Modeling, Elsevier, vol. 46(3), pages 638-654.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Angelos VOULDIS & Panayotis MICHAELIDES & John MILIOS, 2008. "Do Technology Shocks affect Output and Profitability over the Business Cycle in Greece (1960-2008)?," EcoMod2008 23800152, EcoMod.
    2. Michaelides, Panayotis G. & Papageorgiou, Theofanis & Vouldis, Angelos T., 2013. "Business cycles and economic crisis in Greece (1960–2011): A long run equilibrium analysis in the Eurozone," Economic Modelling, Elsevier, vol. 31(C), pages 804-816.
    3. Papageorgiou, Theofanis & Michaelides, Panayotis G. & Milios, John, 2009. "Economic Fluctuations, Cyclical Regularities and Technological Change: The U.S. Food Sector (1958–2006)," MPRA Paper 67115, University Library of Munich, Germany.
    4. Tawadros, George B., 2011. "The stylised facts of Australia's business cycle," Economic Modelling, Elsevier, vol. 28(1), pages 549-556.
    5. Michaelides, Panayotis G. & Papageorgiou, Theofanis, 2012. "On the transmission of economic fluctuations from the USA to EU-15 (1960–2011)," Journal of Economics and Business, Elsevier, vol. 64(6), pages 427-438.
    6. Papageorgiou, Theofanis & Michaelides, Panayotis G. & Milios, John G., 2010. "Business cycles synchronization and clustering in Europe (1960-2009)," Journal of Economics and Business, Elsevier, vol. 62(5), pages 419-470, September.
    7. Konstantakis, Konstantinos & Michaelides, Panayotis G. & Tsionas, Efthymios, 2015. "The Determinants of Economic Fluctuations in Greece: An Empirical Investigation (1995-2014)," MPRA Paper 74459, University Library of Munich, Germany.
    8. Pacheco Jiménez, J.F., 2001. "Business cycles in small open economies: the case of Costa Rica," ISS Working Papers - General Series 19075, International Institute of Social Studies of Erasmus University Rotterdam (ISS), The Hague.
    9. Theofanis Papageorgiou & Panayotis G. Michaelides & John G. Milios, 2011. "Technology and economic fluctuations in the US food sector (1958‐2006)," International Journal of Social Economics, Emerald Group Publishing Limited, vol. 38(2), pages 140-164, January.
    10. Papageorgiou, Theofanis & Michaelides, Panayotis G. & Tsionas, Efthymios G., 2016. "Business cycle determinants and fiscal policy: A Panel ARDL approach for EMU," The Journal of Economic Asymmetries, Elsevier, vol. 13(C), pages 57-68.
    11. King, Robert G. & Rebelo, Sergio T., 1999. "Resuscitating real business cycles," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 14, pages 927-1007, Elsevier.
    12. 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.
    13. Apostolos Serletis & David Krause, 2006. "Nominal Stylized Facts of U.S. Business Cycles," World Scientific Book Chapters, in: Money And The Economy, chapter 2, pages 47-56, World Scientific Publishing Co. Pte. Ltd..
    14. Levent, Korap, 2006. "An essay upon the business cycle facts: the Turkish case," MPRA Paper 21717, University Library of Munich, Germany.
    15. Konstantakis, Konstantinos N. & Michaelides, Panayotis G., 2017. "Technology and Business Cycles: A Schumpeterian Investigation for the USA," MPRA Paper 80636, University Library of Munich, Germany.
    16. Caraiani, Petre, 2012. "Stylized facts of business cycles in a transition economy in time and frequency," Economic Modelling, Elsevier, vol. 29(6), pages 2163-2173.
    17. Korap, Levent, 2010. "A small scaled business-cycle analysis of the Turkish economy: some counter-cyclical evidence using new income series," MPRA Paper 28647, University Library of Munich, Germany.
    18. Vadim Kufenko & Niels Geiger, 2017. "Stylized Facts of the Business Cycle: Universal Phenomenon, or Institutionally Determined?," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 13(2), pages 165-187, November.
    19. Konstantakis, Konstantinos N. & Michaelides, Panayotis G., 2017. "Does technology cause business cycles in the USA? A Schumpeter-inspired approach," Structural Change and Economic Dynamics, Elsevier, vol. 43(C), pages 15-26, December.
    20. Pakko, Michael R, 2000. "The Cyclical Relationship between Output and Prices: An Analysis in the Frequency Domain," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 32(3), pages 382-399, August.

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-09-00474. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: John P. Conley (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.