Why Did the Sign of the Price-Output Correlation Change? Evidence from a Structural VAR with GARCH Errors
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Cited by:
- Mauro Gallegati & Antonio Palestrini & Milena Petrini, 2008. "Cyclical Behavior Of Prices In The G7 Countries Through Wavelet Analysis," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 119-130.
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More about this item
Keywords
Price-Output Correlation; Structural VAR; Supply and Demand Shocks; Blanchard-Quah Decomposition;All these keywords.
JEL classification:
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2006-05-27 (Central Banking)
- NEP-ETS-2006-05-27 (Econometric Time Series)
- NEP-MAC-2006-05-27 (Macroeconomics)
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