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I am writing an empirical paper with National Account's data from the OECD. The analysis of the data consists basically in calculating the cross-correlations among countries of GDP, investment, consumption etc, over a period from 1960:1 to 2015:1.

The problem is that there is a huge amount of measurements available in OECD's website and I don't know which one to choose.

The OECD's website suggests that:

To extract the historical series, the measures to be selected are: CARSA or VOBARSA for data expressed in national currency (respectively in current prices or volumes estimates) and CPCARSA or VPVOBARSA for data expressed in US dollars and GPSA or GYSA for quarter-on-quarter and year-on-year growth rates.

I think that might be adequate for me.

But I still don't know if I should choose between the data in current prices or in volumes estimates.

What are the differences between the two approaches? Which implications would I be faced with by choosing each of them?

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If you are conducting empirical exercises, you should use real values i.e. volumes. If the data has time dimension, it is even more imperative to deflate the variables. The reason for this suggestion is following:

Take output data, over time output changes and usually around a rising trend. The trend growth of output could be due to rising prices instead of volume of output. The following image shows the effect of inflation on output:

enter image description here

The nominal GDP grows at a relatively higher rate than real GDP. The economy appears to have grown, in fact, much of this growth is due to rising price levels, not due to positive growth in volume of output. Using the data from the graph, you can see that

  • nominal GDP in 2012 is 1.3 (=16000/12500) times that in 2005, that's a 28% increase in GDP.
  • real GDP grew by 8% only.
  • in the same period, prices rose by 18.5% (=1.28/1.08-1).

This shows that the volume of GDP, real output, did not grow as fast. The nominal GDP, on the other hand, gives us false impression that the economy is growing at a faster pace.

If you are using the data in statistical or econometric exercises, you should use volume data in constant prices.

And, if you are comparing performance across countries, you should convert the data to international dollars using purchasing power parity (PPP). I think OECD database offers PPP based macro-variables

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