The Cyclical Relationship between Output and Prices: An Analysis in the Frequency Domain.: An article from: Journal of Money, Credit & Banking

This digital document is an article from Journal of Money, Credit & Banking, published by Ohio State University Press on August 1, 2000. The length of the article is 5372 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

From the author: Research showing a negative correlation between output and prices has brought into question the conventional wisdom that prices are procyclical. However, this finding has been shown to be sensitive to the sample period considered. This paper examines the relationship in the frequency domain: the covariance of output and prices is decomposed into spectral components to investigate whether differences in the price-output relationship across sample periods reflect changes in the importance of various frequencies embedded within the correlations, or whether they reflect more fundamental changes in the entire spectral relationship. Some implications for model evaluation are also considered.

Citation Details
Title: The Cyclical Relationship between Output and Prices: An Analysis in the Frequency Domain.
Author: Michael R. Pakko
Publication:Journal of Money, Credit & Banking (Refereed)
Date: August 1, 2000
Publisher: Ohio State University Press
Volume: 32 Issue: 3 Page: 382

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