Identifying the German Inventory Cycle, A Multivariate Structural Time Series Approach Using Survey Data
AbstractInventory fluctuations play an important role in the formation of business cycles. In Germany, little research has been dedicated to this topic recently. In this study, a structural time series model in the tradition of Harvey (1989) is employed to decompose German inventory investment into trend, cyclical and seasonal components. The empirical findings are compared with the results of theoretical inventory models. The estimations suggests that the German inventory cycle consists of three sub-cycles with periods of one, three and eight years. The three-year cycle of inventory investment corresponds to the well known "Kitchin" cycle and has a significant impact on GDP fluctuations. Adding the inventory assessment variable from the IFO business survey to the model improves the results. It turns out that the inventory assessment variable has properties of a leading indicator. These findings may be useful to improve macroeconomic forecasting.
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Bibliographic InfoArticle provided by Justus-Liebig University Giessen, Department of Statistics and Economics in its journal Journal of Economics and Statistics.
Volume (Year): 225 (2005)
Issue (Month): 6 (November)
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Inventory cycle; unobserved components models; survey data;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
- E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Capital; Investment; Capacity
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Gebhard Flaig, 2002. "Unoberserved Components Models for Quarterly German GDP," CESifo Working Paper Series 681, CESifo Group Munich.
- Alan S. Blinder & Louis J. Maccini, 1991. "Taking Stock: A Critical Assessment of Recent Research on Inventories," Journal of Economic Perspectives, American Economic Association, vol. 5(1), pages 73-96, Winter.
- Monika Ruschinski, 2008. "Die deutsche Dienstleistungs- und Warenausfuhr im Rückblick: Gibt es markante Unterschiede im Wachstum?," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 61(05), pages 23-29, 01.
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