English, Article edition: CYCLICAL BEHAVIOR OF PRICES IN THE G7 COUNTRIES THROUGH WAVELET ANALYSIS MAURO GALLEGATI; ANTONIO PALESTRINI; MILENA PETRINI

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Physical Description
  • article
Language
  • English

Edition details

Title
  • CYCLICAL BEHAVIOR OF PRICES IN THE G7 COUNTRIES THROUGH WAVELET ANALYSIS
Author
  • MAURO GALLEGATI
  • ANTONIO PALESTRINI
  • MILENA PETRINI
Physical Description
  • article
Notes
  • Our analysis, conducted using the GDP and the GDP deflator time series (OECD source; 1960â2001) for the G7 countries, shows the robustness of the negative covariance between the GDP and its deflator, but only over long run horizons. Through wavelet decomposition we evaluate the priceâoutput relationship at different time scales, where most countries reveal similar patterns. More precisely, at short time scales a positive correlation seems to appear whereas, and consequently, a regime switch occurs at a time horizon of about two years leading to a negative relationship for higher horizons. These results seem to suggest that the negative or acyclical relationship usually found after the 1960s may be the composite effect of different time scale correlations, where the four-year-horizon component seems to have the greatest influence. In particular for Canada, France, and Italy we observe something like a rotation of the priceâoutput relationship between the countercyclical and the procyclical relationship. Finally, our analysis shows that even the relationship between the two series does not seem to be very stable regarding the lead and lag structure also. The phase is nonlinear for all the countries and, consequently, the group delay (the lag) is not constant. In particular, looking at the time scale we observe an inversion of the local monotonicity at the frequency of about 0.3â0.35 for all G7 countries.
  • Priceâoutput relationship, discrete wavelet transform
  • RePEc:wsi:acsxxx:v:11:y:2008:i:01:p:119-130
Language
  • English
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