International Structural Time Series Evidence on the Cyclical Behaviour of Prices
Schweizerische Zeitschrift für Volkswirtschaft und Statistik / Revue Suisse d'Economie politique et de Statistique / Swiss Journal of Economics and Statistics, Volume 134, Issue 1, 1998, Pages 5-19
Abstract
This paper re-examines the cyclical behaviour of prices in nine countries over long historical periods extending in some cases between the late 1800s and the early 1990s. By evaluating the existing empirical evidence on this issue it is found that the results are sensitive to a number of factors such as the choice of filter and the price variable. The results of structural time series analysis reveal substantial cross-country differences.