 The Time-Varying Correlation between Output and Prices in the United States over 1800 to 2014Nikolaos Antonakakis, Rangan Gupta and Aviral Tiwari No 201584, Working Papers from University of Pretoria, Department of Economics Abstract: In this study, we examine the time-varying correlations between output and prices, while controlling for the impact of monetary policy stance, and output and in flation uncertainties over the period of 1800-2014. The results of the empirical analysis reveal that dynamic correlations of output and prices were typically negative, suggesting a countercyclical behaviour of prices, apart from the early 1840s, and from the beginning till the mid of the 20th century wherein correlation were positive, indicating the procyclicality of prices. A historical decomposition analysis based on a sign-restricted structural vector autoregressive model is able to relate the procyclical and countercyclical behavior to the predominance of aggregate supply, and aggregate demand and/or monetary policy shocks, respectively. Moreover, infl ation uncertainty (monetary policy stance) was found to have a positive (negative) effect on in ation over the last 215 years. Keywords: Conditional correlation; GARCH; Price-Output Comovement; US Economy (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201584 Access Statistics for this paper More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC. |
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