Download Output and Prices in Norway

Output and Prices
in Norway
Ola H Grytten
NHH and Norges Bank
Classical Keynesian view
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Short term output fluctuations are demand
side led
Thus, price fluctuations should mirror output
fluctuations
Hence, inflation targeting is a way of
monitoring counter cyclical monetary policy
Challenging the Keynesian view
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Empirical research has challenged the notion
of co-movement of prices and output
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Haan 2000
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Stock and Watson 1998, King and Rebelo 2000
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Some correspondence in the US after WWII.
Lack of correspondence in the US during the last
decades
Husebø og Wilhelmsen 2005
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Lack of correspondence in Norway during the last
decades
Historical findings for Norway
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Do prices and output correlate in the short
run in Norway?
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Output series
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Aggregated
GDP from 1830 onwards
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Disaggregated for parts only
Price series
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Aggregated
CPI from 1516 onwards
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Aggregated and disagregated
Implicit deflators from HNA
Historical GDP-figures
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Nordic project aiming at constructing Nordic
historical national accounts (NHNA)
HMS
Norwegian historical national accounts (HNN)
1830 - present (Grytten 2004)
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Major indicators
GDP 1830 - 1865 (Grytten 2004)
GDP 1865 - present (Statistics Norway 2008)
Historical CPI-prices
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Norwegian CPI 1516-present (Grytten 2004)
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Part of HMS
Grain prices 1516-1666 (Aschehoug 1888)
Consumer commodities 1666-1819 (Grytten 2004)
CLI 1819-1830 (Grytten 2004)
CLI 1830-1871 (Grytten 2004)
CLI 1871-1910 (Ramstad 1982)
CLI 1910-1916 (KSO)
CLI 1916-1919 (MSA)
CLI 1919-1959 (SSB)
CPI 1959-2008 (SSB)
2006
1998
1990
1982
1974
1966
1958
1950
1942
1934
1926
1918
1910
1902
1894
1886
1878
1870
100000
1862
1854
1846
1838
1830
CPI and GDP per capita
volumes 1830-2006
1000000
CPI
Yn/c
Yr/c
10000
1000
100
10
1
3
18 0
3
18 7
4
18 4
5
18 1
5
18 8
6
18 5
7
18 2
7
18 9
8
18 6
9
19 3
0
19 0
0
19 7
1
19 4
2
19 1
2
19 8
3
19 5
4
19 2
4
19 9
5
19 6
6
19 3
7
19 0
7
19 7
8
19 4
9
19 1
9
20 8
05
18
Annual changes
output and prices
1.5
1.4
CPI
Yr/c
1.3
1.2
1.1
1
0.9
0.8
20
19
19
19
19
19
19
19
19
19
19
19
18
18
18
18
18
18
18
18
01
92
83
74
65
56
47
38
29
20
11
02
93
84
75
66
57
48
39
30
Annual changes output and prices
7YSMA
1.2
CPI
Yr/c
1.1
1
0.9
Output and price cycles
logCt-logTt (T=HP-filtered trend)
0.4
CP I
0.3
Yr/c
0.2
0.1
0
-0.1
-0.2
2000
1990
1980
1970
1960
1950
1940
1930
1920
1910
1900
1890
1880
1870
1860
1850
1840
1830
-0.3
Output and price cycles
7YSMA logCt-logTt
0.15
CPI
0.10
Yr/c
0.05
0.00
-0.05
-0.10
-0.15
2000
1990
1980
1970
1960
1950
1940
1930
1920
1910
1900
1890
1880
1870
1860
1850
1840
1830
-0.20
Table 1. Correla tion coefficients on HP -cycles
GDP per cap ita volum es and CPI 1830-2006.
1830-1913
1913-1952
1952-2006
1830-2006
Simultaneous
-0.0813
0.4699
-0.3824**
0.0162
-0.1901
0.1605
-0.2645**
0.0004
1 year price-lag
0.2342**
0.0342
-0.3102*
0.0584
-0.0091
0.9474
-0.1162
0.1257
2 years price lag
0.2706**
0.0146
-0.1852
0.2725
0.1937
0.1605
-0.0242
0.7513
1 year price lead
-0.1214
0.2773
-0.3461**
0.0333
-0.2104
0.1231
-0.2807**
0.0002
2 years price lead
-0.1696
0.1301
-0.2741
0.1007
-0.0533
0.7013
-0.2365**
0.0017
Simultaneous
0.1029
0.3637
-0.4896**
0.0016
-0.2086
0.1418
-0.4070**
0.0000
1 year price-lag
0.3471**
0.0017
-0.2837*
0.0843
-0.0743
0.6081
-0.2465**
0.0012
2 years price lag
0.4561**
0.0000
-0.0556
0.7438
0.0579
0.3448
-0.0663
0.3932
1 year price lead
-0.1103
0.3332
-0.6099**
0.0000
-0.3780*
0.0062
-0.5165**
0.0000
2 years price lead
-0.2686**
0.0174
-0.6258**
0.0000
-0.4798**
0.0004
-0.5511**
0.0000
Annual
7YSMA
Preliminary conclusions
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Difficult to trace positive correspondence
between short-term prices and output in
Norway 1830-2006.
Some differences between sub-periods
Need further investigation
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By industry
By sector
Co-integration studies
International comparisons