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Business Cycle Volatility in Germany

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Author Info

  • Claudia M. Buch
  • Joerg Doepke
  • Christian Pierdzioch

Abstract

Stylized facts suggest that output volatility in OECD countries has declined in recent years. However, the causes and the nature of this decline have so far been analyzed mainly for the United States. In this paper, we analyze whether structural breaks in the dynamics and the volatility of the real output process in Germany can be detected. We report evidence that output volatility has declined in Germany. Yet, this decline in output volatility is not as clear-cut as it is in the case of the United States. In consequence, it is difficult to answer the question whether the decline in output volatility in Germany reflects good economic and monetary policy or merely ‘good luck’.

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File URL: https://www.econstor.eu/dspace/bitstream/10419/17797/1/kap1129.pdf
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Bibliographic Info

Paper provided by Kiel Institute for the World Economy in its series Kiel Working Papers with number 1129.

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Length: 32 pages
Date of creation: Oct 2002
Date of revision:
Handle: RePEc:kie:kieliw:1129

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Keywords: Business Cycle; Volatility; Germany;

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References

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  1. Margaret M. McConnell & Gabriel Perez Quiros, 1998. "Output fluctuations in the United States: what has changed since the early 1980s?," Staff Reports 41, Federal Reserve Bank of New York.
  2. Robert Buckle & David Haugh & Peter Thomson, 2003. "Calm after the storm? Supply-side contributions to New Zealand's GDP volatility decline," New Zealand Economic Papers, Taylor & Francis Journals, vol. 37(2), pages 217-243.
  3. Shaghil Ahmed & Andrew Levin & Beth Anne Wilson, 2002. "Recent U.S. macroeconomic stability: good policies, good practices or good luck?," International Finance Discussion Papers 730, Board of Governors of the Federal Reserve System (U.S.).
  4. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
  5. James, John A, 1993. "Changes in Economic Instability in 19th-Century America," American Economic Review, American Economic Association, vol. 83(4), pages 710-31, September.
  6. Jean Boivin & Marc Giannoni, 2002. "Assessing changes in the monetary transmission mechanism: a VAR approach," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 97-111.
  7. Thomas Dalsgaard & Jørgen Elmeskov & Cyn-Young Park, 2002. "Ongoing Changes in the Business Cycle: Evidence and Causes," OECD Economics Department Working Papers 315, OECD Publishing.
  8. Susanto Basu & Alan M. Taylor, 1999. "Business Cycles in International Historical Perspective," NBER Working Papers 7090, National Bureau of Economic Research, Inc.
  9. John Simon, 2001. "The Decline in Australian Output Volatility," RBA Research Discussion Papers rdp2001-01, Reserve Bank of Australia.
  10. Alexandre Debs, 2001. "Testing for a Structural Break in the Volatility of Real GDP Growth in Canada," Working Papers 01-9, Bank of Canada.
  11. Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
  12. Nathan S. Balke & Kenneth M. Emery, 1994. "Understanding the price puzzle," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q IV, pages 15-26.
  13. Choi, Seungmook & Kim, Benjamin J. C., 1991. "Monetary policy regime changes and the risk premium in the foreign exchange markets : A GARCH application," Economics Letters, Elsevier, vol. 37(4), pages 447-452, December.
  14. U. Michael Bergman & Michael D. Bordo & Lars Jonung, 1998. "Historical evidence on business cycles: the international experience," Conference Series ; [Proceedings], Federal Reserve Bank of Boston, vol. 42(Jun), pages 65-119.
  15. Olivier Blanchard & John Simon, 2001. "The Long and Large Decline in U.S. Output Volatility," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 32(1), pages 135-174.
  16. Kneller, Richard & Young, Garry, 2001. "Business Cycle Volatility, Uncertainty and Long-Run Growth," Manchester School, University of Manchester, vol. 69(5), pages 534-52, Special I.
  17. Aggarwal, Reena & Inclan, Carla & Leal, Ricardo, 1999. "Volatility in Emerging Stock Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(01), pages 33-55, March.
  18. Lastrapes, William D, 1989. "Exchange Rate Volatility and U.S. Monetary Policy: An ARCH Application," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 21(1), pages 66-77, February.
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Citations

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Cited by:
  1. Ulrich Fritsche & Vladimir Kuzin, 2004. "Declining Output Volatility in Germany: Impulses, Propagation, and the Role of Monetary Policy," Discussion Papers of DIW Berlin 433, DIW Berlin, German Institute for Economic Research.
  2. Claudia M. Buch & Martin Schlotter, 2008. "Regional Origins of Employment Volatility: Evidence from German States," CESifo Working Paper Series 2296, CESifo Group Munich.
  3. Christian Aßmann & Jens Hogrefe & Roman Liesenfeld, 2009. "The decline in German output volatility: a Bayesian analysis," Empirical Economics, Springer, vol. 37(3), pages 653-679, December.
  4. Ulrich Fritsche & Vladimir Kuzin, 2005. "Declining Output Volatility in Germany: Impulses, Propagation, and the Role of the Monetary Policy," Money Macro and Finance (MMF) Research Group Conference 2005 70, Money Macro and Finance Research Group.
  5. William Martin & Robert Rowthorn, 2004. "Will Stability Last?," CESifo Working Paper Series 1324, CESifo Group Munich.
  6. Bönke, Timm & Schröder, Carsten & Schulte, Katharina, 2008. "Incomes and inequality in the long run: the case of German elderly," Economics Working Papers 2008,06, Christian-Albrechts-University of Kiel, Department of Economics.
  7. Sandra Bilek-Steindl, 2011. "On the Change in the Austrian Business Cycle," WIFO Working Papers 384, WIFO.
  8. Klaus Weyerstrass & Bas Aarle & Marcus Kappler & Atilim Seymen, 2011. "Business Cycle Synchronisation with(in) the Euro Area: in Search of a ‘Euro Effect’," Open Economies Review, Springer, vol. 22(3), pages 427-446, July.
  9. Michael A. Flor, 2014. "Post Reunification Economic Fluctuations in Germany: A Real Business Cycle Interpretation," Discussion Paper Series 324, Universitaet Augsburg, Institute for Economics.
  10. Strotmann, Harald & Döpke, Jörg & Buch, Claudia M., 2006. "Does trade openness increase firm-level volatility?," Discussion Paper Series 1: Economic Studies 2006,40, Deutsche Bundesbank, Research Centre.

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