Are Prices Procyclical ? : A Disaggregate Level Analysis
نویسنده
چکیده
This paper is an empirical investigation of the comovement of prices and output in the postwar period at the disaggregate level. The correlation between these two macro variables is measured using VAR forecast errors. This measure does not require any a priori assumptions about the order of integration. The results reject the notion of procyclical prices in the long run. These results are in conformity with the findings of Den Haan (2000) at the aggregate level. The most plausible explanation for such behavior appears to be the presence of supply shocks in the long run. * The author would like to thank Dr. Randall Parker for his insightful comments and fruitful discussions at every stage of completion of this paper.
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تاریخ انتشار 2003