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Rakouská teorie hospodářského cyklu: VAR analýza pro USA v letech 1978-2013
[The Austrian Business Cycle Theory: VAR Analysis for USA between 1978-2013]

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  • Martin Komrska

Abstract

The aim of this paper is to empirically investigate the explanatory power of Austrian business cycle theory (ABCT). My dataset consists of US quarterly time series within the period 1978-2013. Following Wainhouse (1984), Keeler (2001) and others I employ Granger causality as one of the primary tools of the analysis. Furthermore I also add impulse response functions to analyse the observed relations in closer detail. Two main hypotheses were tested. First one analyses how changes in interest rate affects relative proportion of investment and consumption outlays. Second hypothesis investigates how labour resources are reallocated as a consequence of an increase in interest rate. In both hypotheses, two concepts of interest rate were employed. Application of "explicit" interest rate does not seem to generate significant results. On the contrary, results fit in the Austrian story much better when implicit rate is employed. The traditional version of ABCT, which relies more on explicit interest rates, seems to suffer from invalid assumption about the allocation of credit during expansionary phase of business cycle.

Suggested Citation

  • Martin Komrska, 2015. "Rakouská teorie hospodářského cyklu: VAR analýza pro USA v letech 1978-2013 [The Austrian Business Cycle Theory: VAR Analysis for USA between 1978-2013]," Politická ekonomie, Prague University of Economics and Business, vol. 2015(1), pages 57-73.
    • Handle: RePEc:prg:jnlpol:v:2015:y:2015:i:1:id:988:p:57-73
    DOI: 10.18267/j.polek.988
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    More about this item

    Keywords

    VAR; structure of production; impulse response; implicit interest rate; Granger causality; business cycle; ABCT;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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