The comovement between real activity and prices in the G7

In this paper, we study the short-run and long-run comovement between prices and real activity in the G7 countries during the postwar period using vector autoregressive systems and frequency-domain filters. We find several patterns that are robust across countries and time periods. Typically, the correlation coefficients at long-run horizons are significantly negative and the correlation coefficients at short-run horizons are substantially higher. Additionally, there is evidence of positive correlation at short-run forecast horizons for some countries.     

Asymptotic properties of a correlation coefficient type statistic connected with the general linear model

It is proved that under certain conditions the conditional distribution of the sample multiple correlation coefficient given the ‘other’ observations in a multivariate normal distribution is asymptotically normal. Moreover a second-order approximation for the first moment is given.     

Is there really a European business cycle? A comment

In this paper we argue that in contrast to the conclusion ofArtis and Zhang, there is not much evidence in support of theview that increased exchange rate stability is related to moresynchronised business cycles in Europe. This finding may haveimportant consequences, as existing differences in businesscycles in the EMU-countries may not disappear due to furthermonetary integration, making a common monetary policy hazardous.