Template-Type: ReDIF-Paper 1.0 Series: Tinbergen Institute Discussion Papers Creation-Date: 2002-09-23 Number: 02-092/2 Author-Name: Wouter J. den Haan Author-Email: firstname.lastname@example.org Author-Workplace-Name: University of Amsterdam, and University of California, San Diego, USA Title: The Comovement between Real Activity and Prices in the G7 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. Classification-JEL: E31; E37. Keywords: Comovement; vector autoregressive models. File-Url: http://papers.tinbergen.nl/02092.pdf File-Format: application/pdf File-Size: 222935 bytes Handle: RePEc:tin:wpaper:20020092