The Comovement between Real Activity and Prices in the G7

Wouter J. den Haan ()
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Wouter J. den Haan: University of Amsterdam, and University of California, San Diego, USA

No 02-092/2, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: In this paper, we study the short-run and long-run comovement between prices and real activity in the G7 countries during the postwar period using vector autoregressive systems and frequency-domain filters. We find several patterns that are robust across countries and time periods. Typically, the correlation coefficients at long-run horizons are significantly negative and the correlation coefficients at short-run horizons are substantially higher. Additionally, there is evidence of positive correlation at short-run forecast horizons for some countries.

See publication in the European Economic Review , 2004, 48(6), 1333-47.

Keywords: Comovement; vector autoregressive models. (search for similar items in EconPapers)
JEL-codes: E31 E37 (search for similar items in EconPapers)
Date: 2002-09-23
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Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20020092

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