Testing for Common Cycles in Money, Nominal Income and Prices

Stephen Hall and D. Sheperd

No 697, Department of Economics - Working Papers Series from The University of Melbourne

Abstract: In the first section the authors discuss the nature of cyclical features and the distinction between the traditional analysis of co-movement discussed in the business cycles literature and the more recent common cycles analysis. Section 2 examines the nature of the data used in the estimation procedures and the degree to which the relevant series exhibit stationary and non-staionary features. Section 3 applies correlation methods and the common features test procedure to assess whether common or codependent cyclical patterns can be identified for the relationships considered. The final section provides a summary and brief discussion of the results.

Keywords: INCOME; BUSINESS CYCLES; MONEY; PRICES (search for similar items in EconPapers)
JEL-codes: C12 E25 E31 E32 E42 (search for similar items in EconPapers)
Pages: 42 pages
Date: 1999
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Journal Article: Testing for Common Cycles in Money, Nominal Income and Prices (2003)
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