The Comovement between Real Activity and Prices in the G7

Tinbergen Institute Discussion Paper No. TI 2002-092/2

18 Pages Posted: 31 Mar 2003

See all articles by Wouter J. den Haan

Wouter J. den Haan

University of Amsterdam; Centre for Economic Policy Research (CEPR); Tinbergen Institute

Steven Sumner

University of San Diego

Date Written: August 2002

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 VAR forecast errors and frequency domain filters. We find several patterns of the correlation coefficients 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.

Keywords: comovement, vector autoregressive models

JEL Classification: E31, E37

Suggested Citation

Den Haan, Wouter J. and Sumner, Steven, The Comovement between Real Activity and Prices in the G7 (August 2002). Tinbergen Institute Discussion Paper No. TI 2002-092/2, Available at SSRN: https://ssrn.com/abstract=346461 or http://dx.doi.org/10.2139/ssrn.346461

Wouter J. Den Haan (Contact Author)

University of Amsterdam ( email )

Spui 21
Amsterdam, 1018 WB
Netherlands

HOME PAGE: http://www1.feb.uva.nl/toe/content/people/content/denhaan/pers.htm

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Tinbergen Institute ( email )

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Rotterdam, 3062 PA
Netherlands

Steven Sumner

University of San Diego ( email )

5998 Alcala Park
San Diego, CA 92110-2492
United States
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619-260-4891 (Fax)

HOME PAGE: http://www.sandiego.edu/~sumner