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Ioanna Konstantakopoulou, Eftymios Tsionas and Tryphon Kollintzas |
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''Stylized Facts of Prices and Interest Rates over the Business Cycle'' |
( 2009, Vol. 29 No.4 ) |
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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. |
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Keywords: business cycles, stylized facts |
JEL: E4 - Money and Interest Rates: General E3 - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) |
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Manuscript Received : Aug 11 2009 | | Manuscript Accepted : Oct 19 2009 |
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