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DC Field | Value | Language |
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dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Claudio-Quiroga, G | - |
dc.contributor.author | Gil-Alana, L | - |
dc.date.accessioned | 2022-01-29T17:48:55Z | - |
dc.date.available | 2022-01-29T17:48:55Z | - |
dc.date.issued | 2022-05-09 | - |
dc.identifier | 44 | - |
dc.identifier | ORCID iD: Guglielmo Maria Caporale https://orcid.org/0000-0002-0144-4135 | - |
dc.identifier.citation | Caporale, G.M., Claudio-Quiroga, G. and Gil-Alana, L. (2022) 'The relationship between prices and output in the UK and the US', SN Business & Economics, 2, 44, pp. 1-13. doi: 10.1007/s43546-022-00231-4. | en_US |
dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/24029 | - |
dc.description | Data availability: Data will be available from the authors upon reasonable request. | - |
dc.description | Code availability: Standard codes available on the Internet have been used for the analysis. | - |
dc.description.abstract | Copyright © The Author(s) 2022. This paper aims to provide new evidence on the relationship between prices and output in both the US and the UK (which is important to discriminate between different macroeconomic theories) by focusing on the long run. For this purpose, it applies fractional integration and long-range dependence techniques that are more general than the standard modelling approach based on the stationary I (0) versus nonstationary I (1) dichotomy which has been used in previous studies. All series appear to be highly trended and to exhibit high degrees of integration and persistence, especially in the case of CPI. Since the two variables have different degrees of integration in each of the two countries, fractional cointegration tests cannot be carried out. We assume instead weak exogeneity of each of them in turn and test for causality by regressing the other variable against lagged values of the weakly exogenous one. We find that the only significant relationship implies the existence of a lagged effect of prices on output in the case of the US, which suggests a dominant role for demand shocks. | - |
dc.description.sponsorship | Ministerio de Economía y Competitividad (ECO2017-85503-R). | en_US |
dc.format.extent | 1 - 13 | - |
dc.format.medium | Electronic | - |
dc.language.iso | en_US | en_US |
dc.rights | Copyright © The Author(s) 2022. Rights and permissions: Open Access. This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit https://creativecommons.org/licenses/by/4.0/. | - |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | - |
dc.subject | real output | en_US |
dc.subject | prices | en_US |
dc.subject | persistence | en_US |
dc.subject | fractional integration | en_US |
dc.title | The relationship between prices and output in the UK and the US | en_US |
dc.type | Article | en_US |
dc.identifier.doi | https://doi.org/10.1007/s43546-022-00231-4 | - |
dc.relation.isPartOf | SN Business & Economics | - |
pubs.publication-status | Published | - |
pubs.volume | 2 | - |
dc.identifier.eissn | 2662-9399 | - |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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