Stylized Facts of Prices and Interest Rates over the Business Cycle
Ioanna Konstantakopoulou (),
Mike Tsionas and
Tryphon Kollintzas ()
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Ioanna Konstantakopoulou: Athens University of Economics and Business
Economics Bulletin, 2009, vol. 29, issue 4, 2613-2627
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.
Keywords: business cycles; stylized facts (search for similar items in EconPapers)
JEL-codes: E4 E3 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-09-00474
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