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The comovements between real activity and prices at different business cycle frequencies

Author: Wouter J Den Haan; National Bureau of Economic Research.
Publisher: Cambridge, MA : National Bureau of Economic Research, [1996]
Series: Working paper series (National Bureau of Economic Research), working paper no. 5553.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Abstract: In this paper, I present two different methods that can be used to obtain a concise set of descriptive results about the comovement of variables. The statistics are easy to interpret and capture important information about the dynamics in the system that would be lost if one focused only on the unconditional correlation coefficient of detrended data. The methods do not require assumptions about the order  Read more...
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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Wouter J Den Haan; National Bureau of Economic Research.
OCLC Number: 70065013
Description: 1 online resource (34, 18 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), working paper no. 5553.
Responsibility: Wouter J. den Haan.

Abstract:

Abstract: In this paper, I present two different methods that can be used to obtain a concise set of descriptive results about the comovement of variables. The statistics are easy to interpret and capture important information about the dynamics in the system that would be lost if one focused only on the unconditional correlation coefficient of detrended data. The methods do not require assumptions about the order of integration. That is, the methods can be used for stationary as well as integrated processes. They do not require the types of assumptions needed for VAR decompositions either. Both methods give similar results. In the postwar period, the comovement between output and prices is positive in the During the same period, the comovement between hours and real wages is negative in the that a model in which demand shocks dominate in the short run and supply shocks dominate in the long run can explain the empirical results, while standard sticky-price models with only demand shocks cannot.

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