An investigation into the cyclical behaviour of output, money, stock prices and interest rates

Abstract

This paper examines the cyclical behaviour of output, money, stock prices and interest rates using annual US data covering the period 1900–91. The cyclical components are extracted from a seemingly unrelated time series equations model. The cyclical relationships are subsequently assessed by examining the contemporaneous and lagged correlations. The results reveal that the cyclical relationships weakened in the post-war period.