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Unoberserved Components Models for Quarterly German GDP

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  • Gebhard Flaig

Abstract

In this paper, an Unobserved Components Model is employed to decompose German real GDP into the trend, cycle and seasonal components and the working day effect. The most important findings are: 1) The growth rate of potential output declined from 4.2 per cent in the sixties to 1.4 per cent at the end of the nineties of the last century. 2) The business cycle is comprised of two subcycles with a period of about four and eight years, respectively. 3) The seasonal pattern is not constant over time and the number of working days contribute significantly to the short-term variability of output.

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File URL: http://www.cesifo-group.de/portal/page/portal/DocBase_Content/WP/WP-CESifo_Working_Papers/wp-cesifo-2002/wp-cesifo-2002-03/cesifo_wp681.pdf
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Bibliographic Info

Paper provided by CESifo Group Munich in its series CESifo Working Paper Series with number 681.

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Date of creation: 2002
Date of revision:
Handle: RePEc:ces:ceswps:_681

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Related research

Keywords: trend; cycle; season; working day effect; output gap; unobserved components models;

References

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  1. Harvey, A C & Jaeger, A, 1993. "Detrending, Stylized Facts and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(3), pages 231-47, July-Sept.
  2. Clarida, Richard & Galí, Jordi & Gertler, Mark, 1999. "The Science of Monetary Policy: A New Keynesian Perspective," CEPR Discussion Papers 2139, C.E.P.R. Discussion Papers.
  3. Agustín Maravall, 1996. "Unobserved Components in Economic Time Series," Banco de Espa�a Working Papers 9609, Banco de Espa�a.
  4. Apel, Mikael & Jansson, Per, 1999. "A theory-consistent system approach for estimating potential output and the NAIRU," Economics Letters, Elsevier, vol. 64(3), pages 271-275, September.
  5. Timothy Cogley & James M. Nason, 1993. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research," Working Papers in Applied Economic Theory 93-01, Federal Reserve Bank of San Francisco.
  6. Luca Benati, 2001. "Band-pass filtering, cointegration, and business cycle analysis," Bank of England working papers 142, Bank of England.
  7. Canova, Fabio, 1998. "Detrending and business cycle facts," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 475-512, May.
  8. Gebhard Flaig, 2000. "Arbeitstageeffekt und Bruttoinlandsprodukt : eine empirische Analyse mit einem strukturellen Komponentenmodel," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 53(22-23), pages 12-17, 08.
  9. Gebhard Flaig, 2001. "Trend and Cycles in U.S. Real GDP," CESifo Working Paper Series 607, CESifo Group Munich.
  10. Claude Giorno & Pete Richardson & Deborah Roseveare & Paul van den Noord, 1995. "Estimating Potential Output, Output Gaps and Structural Budget Balances," OECD Economics Department Working Papers 152, OECD Publishing.
  11. Watson, Mark W., 1986. "Univariate detrending methods with stochastic trends," Journal of Monetary Economics, Elsevier, vol. 18(1), pages 49-75, July.
  12. Gebhard Flaig & Claudia Ploetscher, 2000. "Estimating the Output Gap Using Business Survey Data - A Bivariate Structural Time Series Model for the German Economy," CESifo Working Paper Series 233, CESifo Group Munich.
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Citations

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Cited by:
  1. Gebhard Flaig, 2003. "Time Series Properties of the German Monthly Production Index," CESifo Working Paper Series 833, CESifo Group Munich.
  2. 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.
  3. Monika Ruschinski, 2006. "Investigating the Cyclical Properties of World Trade," Ifo Working Paper Series Ifo Working Paper No. 30, Ifo Institute for Economic Research at the University of Munich.
  4. Gebhard Flaig, 2003. "Seasonal and Cyclical Properties of Ifo Business Test Variables," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 223(5), pages 556-570, September.
  5. Patrick Wilson & Simon Stevenson & Ralf Zurbruegg, 2007. "Foreign Property Shocks and the Impact on Domestic Securitized Real Estate Markets: An Unobserved Components Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 34(3), pages 407-424, April.
  6. Erich Langmantel, 2005. "Identifying the German Inventory Cycle, A Multivariate Structural Time Series Approach Using Survey Data," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 225(6), pages 675-687, November.

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