Do prices move counter-cyclically?

The cyclical properties of producer and consumer prices are analysed on quarterly data for the period 1961:1 to 1990:4 for 15 OECD countries. It is found that the cyclical properties of prices vary substantially over time and across countries. All countries have periods with pro- and counter-cyclical prices and thus both demand and supply shocks are important in accounting for business cycle fluctuations. Considering the lead and lag structure, it is generally found that price increases lead output decreases.