IDEAS home Printed from https://ideas.repec.org/p/nbr/nberwo/5553.html
   My bibliography  Save this paper

The Comovements Between Real Activity and Prices at Different Business Cycle Frequencies

Author

Listed:
  • Wouter J. Den Haan

Abstract

In this paper, I present two different methods that can be used to obtain a concise set of descriptive results about the comovement of variables. The statistics are easy to interpret and capture important information about the dynamics in the system that would be lost if one focused only on the unconditional correlation coefficient of detrended data. The methods do not require assumptions about the order of integration. That is, the methods can be used for stationary as well as integrated processes. They do not require the types of assumptions needed for VAR decompositions either. Both methods give similar results. In the postwar period, the comovement between output and prices is positive in the During the same period, the comovement between hours and real wages is negative in the that a model in which demand shocks dominate in the short run and supply shocks dominate in the long run can explain the empirical results, while standard sticky-price models with only demand shocks cannot.

Suggested Citation

  • Wouter J. Den Haan, 1996. "The Comovements Between Real Activity and Prices at Different Business Cycle Frequencies," NBER Working Papers 5553, National Bureau of Economic Research, Inc.
  • Handle: RePEc:nbr:nberwo:5553
    Note: EFG
    as

    Download full text from publisher

    File URL: http://www.nber.org/papers/w5553.pdf
    Download Restriction: no

    Citations

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


    Cited by:

    1. Christopher J. Erceg, 1997. "Nominal wage rigidities and the propagation of monetary disturbances," International Finance Discussion Papers 590, Board of Governors of the Federal Reserve System (U.S.).
    2. Paul Fenton & Alain Paquet, 1997. "International Interest Rate Differentials: The Interaction with Fiscal and Monetary Variables, and the Business Cycle," Cahiers de recherche CREFE / CREFE Working Papers 56, CREFE, Université du Québec à Montréal, revised Jan 1998.
    3. Charles A. Fleischman, 1999. "The causes of business cycles and the cyclicality of real wages," Finance and Economics Discussion Series 1999-53, Board of Governors of the Federal Reserve System (U.S.).
    4. Junhee Lee & Joonhyuk Song, 2009. "Nature of Oil Price Shocks and Monetary Policy," NBER Working Papers 15306, National Bureau of Economic Research, Inc.

    More about this item

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access

    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:nbr:nberwo:5553. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: http://edirc.repec.org/data/nberrus.html .

    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.

    We have no references for this item. You can help adding them by using 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.