The co-movement between output and prices in the EU15 countries:: an empirical investigation

The paper studies the co-movement between output and prices in the EU15 countries. Following Den Haan, the correlations of VAR forecast errors at different horizons are used to analyse the dynamics in the output-price relationship. The empirical results show that ten countries display a significant negative co-movement between output and prices in the 'long run' whereas this is positive in the 'short run' only for three countries. Finally, four countries do not exhibit any significant comovement.