Stylized facts of prices and interest rates over the business cycle

Konstantakopoulou, Ioanna and Tsionas, Michael and Kollintzas, Tryphon (2009) Stylized facts of prices and interest rates over the business cycle. Economics Bulletin, 29 (4). pp. 2613-2627. ISSN 1545-2921

Abstract

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.