NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

The Comovements Between Real Activity and Prices at Different Business Cycle Frequencies

Wouter J. Den Haan

NBER Working Paper No. 5553
Issued in April 1996
NBER Program(s):   EFG

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.

download in pdf format
   (1996 K)

email paper

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w5553

Users who downloaded this paper also downloaded* these:
den Haan and Sumner w8195 The Comovements between Real Activity and Prices in the G7
Samwick and Skinner w5568 Abandoning the Nest Egg? 401(k) Plans and Inadequate Pension Saving
Glaeser and Nathanson w21037 An Extrapolative Model of House Price Dynamics
Edwards w1172 LDC's Foreign Borrowing and Default Risk: An Empirical Investigation
Glaeser and Resseger w15103 The Complementarity between Cities and Skills
 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us