In this paper, we study the short-run and long-run comovement between prices and real activity in the G7 countries during the postwar period using VAR forecast errors and frequency domain filters. We find that there are several patterns of the correlation coefficients that are the same in all...

In this paper an attempt is made to document the interdependence among stocks, bonds and gold. Gold is an important asset class and has often been seen as a safe haven and counter-cyclical investment vehicle. We present an extension of the work done by Diebold and Yilmaz (2009) using a spillover...

In this paper, we study the short-run and long-run comovement between prices and real activity in the G7 countries during the postwar period using VAR forecast errors and frequency domain filters. We find several patterns of the correlation coefficients that are robust across countries and time...

In this paper, we study the short-run and long-run comovement between prices and real activity in the G7 countries during the postwar period using VAR forecast errors and frequency domain filters. We find that there are several patterns of the correlation coefficients that are the same in all...