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Stylized facts and regime changes: are prices procyclical?

Ravn , M.O.; (1995) Stylized facts and regime changes: are prices procyclical? Journal of Monetary Economics , 36 (3) pp. 497-526. 10.1016/0304-3932(95)01231-1.

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Abstract

We investigate empirically the stability of the correlation between output growth and inflation using a technique that allows for changes in regime. We look at recent quarterly data for the G4 and at historical data for the U.S. and U.K. We find evidence of changes both in means and variances in both sources of data. In the quarterly data we find that the covariance between output growth and inflation is typically negative. In the historical data we find, as suggested in previous studies, that inflation was procyclical especially in the inter-war years, but has been countercyclical in the post-war period.

Type:Article
Title:Stylized facts and regime changes: are prices procyclical?
DOI:10.1016/0304-3932(95)01231-1
Publisher version:http://dx.doi.org/10.1016/0304-3932(95)01231-1
Language:English
Keywords:Growth and inflation, regime switching, countercyclical prices
UCL classification:UCL > School of Arts and Social Sciences > Faculty of Social and Historical Sciences > Economics

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