Are prices countercyclical?: evidence from the G-7
Bankim Chadha, Eswar Prasad, International Monetary Fund. Research Dept, International Monetary Fund. Western Hemisphere Dept
International Monetary Fund, 1992 - Business & Economics - 31 pages
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aggregate aggregate demand assumption that output behavior of prices Blanchard and Quah Business Cycles comovement of prices component of output contemporaneous correlation Cooley and Ohanian Cross-Correlations of Prices cyclical behavior cyclical component cyclical movements ddddddddd demand-driven model detrended output Dickey-Fuller difference of output estimated examine the correlations Examining the comovements examining the cross-correlations flexible price level fourth lag Hodrick-Prescott filter hypothesis Impulse Response Impulse Response Functions inflation and cyclical inflation rate Kydland lags and leads level of output long-run movements measures movements in demand movements in output negative correlations nonstationarity number of lagged output and prices output is demand-determined output series Phillips Curve positive correlations post-war U.S. Prescott prices and output prices are flexible procyclical Q-statistic random walk rate of inflation Real Business Cycles shocks to demand similarly transformed price Spectral Density stationary component Sticky Prices Stochastic Simulations stochastic trend supply of output supply-driven model Table temporary movements unit root vectors