The Comovement between Real Activity and Prices in the G7

In this paper, we study the short-run and long-run comovement between prices and real activity in the G7 countries during the postwar period using vector autoregressive systems and frequency-domain filters. We find several patterns that are robust across countries and time periods. Typically, the correlation coefficients at long-run horizons are significantly negative and the correlation coefficients at short-run horizons are substantially higher. Additionally, there is evidence of positive correlation at short-run forecast horizons for some countries.<P>See publication in the <A href="http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6V64-4B9D8G6-1&_user=499884&_coverDate=12%2F31%2F2004&_rdoc=10&_fmt=high&_orig=browse&_srch=doc-info(%23toc%235804%232004%23999519993%23519214%23FLA%23display%23Volume)&_cdi=5804&_sort=d&_docanchor=&_ct=14&_acct=C000024499&_version=1&_urlVersion=0&_userid=499884&md5=11e7929c731544f47617c7a123b73932"><I>European Economic Review</I></A>, 2004, 48(6), 1333-47.