The correlation between shocks to output and the price level: Evidence from a multivariate GARCH model

Southern Economic Journal

Volumn 70, Issue 1, 2003, Pages 75-92

  Cover, James Peery ^a   Hueng, C James ^a  

^a UNIVERSITY OF ALABAMA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0042243643     PISSN: 00384038     EISSN: None     Source Type: Journal    
DOI: 10.2307/1061632     Document Type: Article

References (29)

1. Backus, David K., and Patrick J. Kehoe. 1992. International evidence on the historical properties of business cycles. American Economic Review 82:864-88.
2. Balke, Nathan S., and Robert J. Gordon. 1986. Appendix D: Historical data. In The American business cycle: Continuity and change, edited by Robert J. Gordon. Chicago: University of Chicago Press, pp. 781-850.
3. Ball, Lawrence, and N. Gregory Mankiw. 1994. A sticky-price manifesto. Carnegie-Rochester Conference Series on Public Policy 41:127-51.
4. Blanchard, Olivier J., and Stanley Fischer. 1989. Lectures on macroeconomics. Cambridge, MA: MIT Press.
5. Burns, Arthur, and Wesley C. Mitchell. 1946. Measuring business cycles. New York: National Bureau of Economic Research.
6. Chada, Bankim, and Eswar Prasad. 1993. Interpreting the cyclical behavior of prices. IMF Staff Papers 40:266-98.
7. Cooley, T. F., and L. H. Ohanian. 1991. The cyclical behavior of prices. Journal of Monetary Economics 28:25-60.
8. Cover, James P., and Paul Pecorino. 2003. Optimal monetary policy and the correlation between prices and output. Contributions to Macroeconomics 3(1):Article 2.
9. den Haan, Wouter J. 2000. The comovement between output and prices. Journal of Monetary Economics 46:3-30.
10. Dickey, David A., and Sastry G. Pantula. 1987. Determining the order of differencing in autoregressive processes. Journal of Business and Economic Statistics 5:455-61.
11. Engle, Robert F., and Kenneth F. Kroner. 1995. Multivariate simultaneous generalized ARCH. Econometric Theory 11:122-50.
12. Flodén, Martin. 2000. Endogenous monetary policy and the business cycle. European Economic Review 44:1409-29.
13. Friedman, Milton. 1977. Nobel lecture: Inflation and unemployment. Journal of Political Economy 85:451-72.
14. Friedman, Milton, and Anna J. Schwartz. 1982. Monetary trends in the United States and the United Kingdom: Their relation to income, prices and interest rates, 1867-1975. Chicago: University of Chicago Press.
15. Gavin, William T., and Finn E. Kydland. 1999. Endogenous money supply and the business cycle. Review of Economic Dynamics 2:347-69.
16. Hansen, Alvin H. 1951. Business cycles and national income. New York: W. W. Norton.
17. Hartley, James E. 1999. Real myths and a monetary fact. Applied Economics 31:1325-9.
18. Hobijn, Bart, Philip Hans Franses, and Marius Ooms. 1998. Generalization of the KPSS-test for stationarity. Econometric Institute Report, No. 9802/A.
19. Judd, John P., and Bharat Trehan. 1995. The cyclical behavior of prices: Interpreting the evidence. Journal of Money, Credit and Banking 27:789-97.
20. Kroner, Kenneth F., and Victor K. Ng. 1998. Modeling asymmetric comovements of asset returns. Review of Financial Studies 11:817-44.
21. Kwiatkowski, D., P. C. B. Phillips, P. Schmidt, and Y. Shin. 1992. Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics 54:159-78.
22. Kydland, Finn E., and Edward C. Prescott. 1990. Business cycles: Real facts and a monetary myth. Federal Reserve Bank of Minneapolis Quarterly Review 14:3-18.
23. Mankiw, N. Gregory. 1989. Real business cycles: A new Keynesian perspective. Journal of Economic Perspectives 3:79-90.
24. McConnell, Margaret M., and Gabriel Perez-Quiros. 2000. Output fluctuations in the United States: What has changed since the early 1980s? American Economic Review 90:1464-76.
25. Ng, Serena, and Pierre Perron. 1995. Unit root tests in ARMA models with data-dependent methods for the selection of the truncation lag. Journal of the American Statistical Association 90:268-80.
26. Pakko, Michael R. 2000. The cyclical relationship between output and prices: An analysis in the frequency domain. Journal of Money, Credit and Banking 32:382-99.
27. Smith, R. Todd. 1992. The cyclical behavior of prices. Journal of Money, Credit and Banking 24:413-30.
28. Spencer, David E. 1996. Interpreting the cyclical behavior of the price level in the U.S. Southern Economic Journal 63:95-105.
29. Wolf, Holger C. 1991. Procyclical prices: A demi-myth? Federal Reserve Bank of Minneapolis Quarterly Review 15:25-8.