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Stylized Facts and International Business Cycles - The German Case

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Author Info
Michael Gail ()

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Abstract

This paper studies the business cycle in Germany using the HP-filter (Hodrick/Prescott (1997)) to isolate the cyclical component. A two-country International Business Cycle model in line with Baxter/Crucini (1995) is built to explain these facts. The combination of GHH-preferences with taste shocks resulting from government consumption is shown to be an important feature of the German business cycle. A VAR model for the exogenous variables is estimated that enables the model not only to account well for the observed positive international correlations of outputs, consumptions and savings but also for their lead-lag relationship. Hours worked and investments are positively correlated in this model - a property not realized in other single-good models of the International Business Cycle in the literature.

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File URL: http://www.uni-siegen.de/fb5/vwl/repec/sie/papers/69-98.pdf
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Publisher Info
Paper provided by Universität Siegen, Fachbereich Wirtschaftswissenschaften, Wirtschaftsinformatik und Wirtschaftsrecht in its series Volkswirtschaftliche Diskussionsbeitraege with number 69-98.

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Length: 30 pages
Date of creation: Aug 1998
Date of revision: 09 Jul 2000
Handle: RePEc:sie:siegen:69-98

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Web page: http://www.uni-siegen.de/fb5/vwl/research/diskussionsbeitraege/

For technical questions regarding this item, or to correct its listing, contact: (Michael Gail).

Related research
Keywords: International Real Business Cycles; Stylized Facts; GHH-preferences;

Find related papers by JEL classification:
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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    Other versions:
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    Other versions:
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    Other versions:
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    Other versions:
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  25. Barro, Robert J, 1981. "Output Effects of Government Purchases," Journal of Political Economy, University of Chicago Press, vol. 89(6), pages 1086-1121, December. [Downloadable!] (restricted)
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    Other versions:
  31. Backus, David K & Kehoe, Patrick J & Kydland, Finn E, 1992. "International Real Business Cycles," Journal of Political Economy, University of Chicago Press, vol. 100(4), pages 745-75, August. [Downloadable!] (restricted)
    Other versions:
  32. Thomas Harjes, 1997. "Real business cycles in an open economy: An application to Germany," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 133(4), pages 635-656, December. [Downloadable!] (restricted)
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