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

Wouter J. Den Haan
Authors registered in the RePEc Author Service: Wouter Denhaan ()

No 5553, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: E32 C82 (search for similar items in EconPapers)
Date: 1996-05
Note: EFG
View citations in EconPapers

Downloads: (external link)
http://www.nber.org/papers/w5553.pdf (application/pdf)
Access to the full text is generally limited to series subscribers, however if the top level domain of the client browser is in a developing country or transition economy free access is provided. More information about subscriptions and free access is available at http://www.nber.org/wwphelp.html.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:nbr:nberwo:5553

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w5553
The price is Paper copy available by mail.

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc
Address: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
Contact information at EDIRC.
Series data maintained by ().