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Business Cycle Volatility in Germany

  • Claudia M. Buch
  • Joerg Doepke
  • Christian Pierdzioch

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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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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  1. 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.
  2. 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.
  3. 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.
  4. 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.).
  5. Robert A Buckle & David Haugh & Peter Thomson, 2001. "Calm after the Storm?: Supply-side contributions to New Zealand’s GDP volatility decline," Treasury Working Paper Series 01/33, New Zealand Treasury.
  6. Bergman, U. Michael & Bordo, Michael D. & Jonung, Lars, 1998. "Historical Evidence on Business Cycles: The International Experience," SSE/EFI Working Paper Series in Economics and Finance 255, Stockholm School of Economics.
  7. 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.
  8. 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.
  9. Alexandre Debs, 2001. "Testing for a Structural Break in the Volatility of Real GDP Growth in Canada," Working Papers 01-9, Bank of Canada.
  10. Margaret M. McConnell & Gabriel Perez Quiros, 1997. "Output fluctuations in the United States: what has changed since the early 1980s?," Research Paper 9735, Federal Reserve Bank of New York.
  11. 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.
  12. 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.
  13. Susanto Basu & Alan M. Taylor, 1999. "Business Cycles in International Historical Perspective," NBER Working Papers 7090, National Bureau of Economic Research, Inc.
  14. 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.
  15. 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.
  16. 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.
  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. John Simon, 2001. "The Decline in Australian Output Volatility," RBA Research Discussion Papers rdp2001-01, Reserve Bank of Australia.
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