Koo, Jahyeong; Johnson, Paul A. - In: Economics Bulletin 6 (2004) 17, pp. 1-9
This paper decomposes the feedback between US and UK price levels by frequency over the period 1791 to 1990. By adapting Geweke's (1982) method of decomposing the feedback between time series to the case of I(1) time series generated by a bivariate error-correction model, we find that most of...