The Comovement between Real Activity and Prices in the G7

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  • 1 January 2002
    • preprint
      • Published in RePEc
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. See publication in the European Economic Review , 2004, 48(6), 1333-47.

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