Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
}
TY - JOUR
T1 - Stylized facts of prices and interest rates over the business cycle
AU - Konstantakopoulou, Ioanna
AU - Tsionas, Michael
AU - Kollintzas, Tryphon
PY - 2009/10/19
Y1 - 2009/10/19
N2 - This paper investigates the stylized facts of prices and interest rates over the business cycles in nine OECD countries using quarterly data from 1960 to 2004. We examine the stylized facts used various detrending methods. Our findings confirm the existence of substantive cyclical regularities across countries. In particular, nominal interest rates are procyclical and lag the cycle in the majority of countries; term spread is countercyclical and lags the cycle; prices are countercyclical; inflation is procyclical and lag the cycle.
AB - This paper investigates the stylized facts of prices and interest rates over the business cycles in nine OECD countries using quarterly data from 1960 to 2004. We examine the stylized facts used various detrending methods. Our findings confirm the existence of substantive cyclical regularities across countries. In particular, nominal interest rates are procyclical and lag the cycle in the majority of countries; term spread is countercyclical and lags the cycle; prices are countercyclical; inflation is procyclical and lag the cycle.
KW - business cycles
KW - stylized facts
M3 - Journal article
VL - 29
SP - 2613
EP - 2627
JO - Economics Bulletin
JF - Economics Bulletin
SN - 1545-2921
IS - 4
ER -