Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/85961
Authors: 
den Haan, Wouter J.
Year of Publication: 
2002
Series/Report no.: 
Tinbergen Institute Discussion Paper 02-092/2
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.
Subjects: 
Comovement
vector autoregressive models.
JEL: 
E31
E37
Document Type: 
Working Paper

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