The Cyclical Relationship between Output and Prices: An Analysis in the Frequency Domain
在频域中分解产出与价格的协方差，探究不同样本期间两者关系差异的来源，对模型评估有启示。
Recent research showing a negative correlation between output and prices has brought into question the conventional wisdom that prices are procyclical.However, this finding has been shown to be sensitive to the sample period considered.This paper examines the relationship in the frequency domain: the covariance of output and prices is decomposed into spectral components to investigate whether the differences in the price-output relationship across sample periods reflect changes in the importance of various frequencies embedded within the correlations, or whether they reflect more fundamental changes in the entire spectral relationship.Some implications for model evaluation are also considered.