The comovement between output and prices

• 成果类型: Article
• 署名作者: den Haan, WJ
• 署名单位: University of California System; University of California San Diego; National Bureau of Economic Research
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(00)00016-7
• 发表日期: 2000
• 页码: 3-30
• 关键词: comovement; sticky prices; vector autoregressive models

摘要

In this paper, I analyze the comovement of US prices and output in the postwar period. I use a new set of statistics to characterize the comovement between variables. The statistics capture important information about the dynamics in the system. The estimation procedure does not require assumptions about the order of integration or the types of assumptions needed for VAR decompositions, I find that the comovement between output and prices is positive in the 'short run' and negative in the 'long run'. I show that a model in which demand shocks dominate in the short run and supply shocks dominate in the long run can explain these empirical results, while sticky-price models with only demand shocks cannot, (C) 2000 Elsevier Science B.V. All rights reserved. JEL classification: E31; E37.