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, 1994 - Business & Economics - 19 pages
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0.08 Correlations ADF regressions behavior of inflation behavior of prices Blanchard-Quah decomposition business cycle models Canada France Germany component of output components of prices contemporaneous correlations correlations between HP-filtered correlations between inflation Correlations of inflation countercyclical behavior countercyclical price behavior cyclical behavior cyclical component cyclical output cyclical unemployment detrend output detrended prices detrending techniques examine France Germany Italy G-7 countries Germany Italy Japan Hodrick-Prescott filter HP-filtered output HP-filtered prices HP-filtered unemployment rate inflation and cyclical inflation and HP-filtered inflation rate Italy Japan U.K. U.S. Lag Canada France lagged autocorrelations Mankiw measures of cyclical negatively correlated nonstationary null hypothesis number of lagged output Lag Canada output series panel of Table paper permanent component Perron Phillips curve postwar quarterly data price level prices and inflation prices and output Q-statistic random walk real business cycle segmented linear trend spectral density standard errors strongly negative strongly positive stylized facts unit root United Kingdom