IDEAS home Printed from https://ideas.repec.org/p/lii/wpaper/44.html
   My bibliography  Save this paper

Der Klein(st)staat Liechtenstein und seine grossen Nachbarländer: Eine wachstums- und konjunkturanalytische Gegenüberstellung

Author

Listed:
  • Andreas Brunhart

    () (Liechtenstein-Institut)

Abstract

Die Kleinstvolkswirtschaft Liechtenstein hat in den letzten vier Jahrzehnten über eine höhere Dynamik und Volatilität in ihrem Wachstum verfügt als die drei grösseren Nachbarn Schweiz, Österreich und Deutschland. Seit den 1990er-Jahren kam es in Liechtenstein zu einer „Great Agitation“, also zu einer Erhöhung der gesamtwirtschaftlichen Volatilität, die in krassem Gegensatz zu der international beobachtbaren „Great Moderation“ steht, welche bis zur aktuellen Finanzkrise anhielt. Diese Agitation hat sich vor allem durch die zunehmende anteilsmässige Bedeutung des Finanzdienstleistungssektors und dessen steigende sektorale Volatilität ergeben. Allgemein ist es zu einer Wachstumskonvergenz der vier Staaten und einer noch weiter ansteigenden Synchronität der Konjunkturzyklen gekommen. Zudem scheint der liechtensteinische Konjunkturzyklus vorlaufend gegenüber seinem engsten Nachbarn, der Schweiz, zu sein: Der statistische Vorlauf der liechtensteinischen realen BIP-Wachstumsrate und der konjunkturellen Trendabweichung ist hoch signifikant und stabil in verschiedenen in diesem Kontext adäquaten Modellen und deren Spezifikationen. The economy of the micro-state Liechtenstein has featured a higher dynamic and volatility in its growth than the three larger neighbours Switzerland, Austria and Germany during the last four decades. From the 90s on, a „Great Agitation“(an increase of macroeconomic volatility) has occurred, which contrasts the internationally observable „Great Moderation“ that lasted until the recent financial crisis. This agitation was mainly driven by the growing relative importance of the financial services sector and its rising sectoral volatility. A growth convergence among the four inspected nations has evolved and also the business cycle patterns have become more and more synchronized. Also, there appears a leading pattern of the business cycle in Liechtenstein compared to its closest neighbor, Switzerland: The statistical lead property of Liechtenstein’s growth rate of real GDP and business cycle amplitude is highly significant and robust across various different models and econometric specifications.

Suggested Citation

  • Andreas Brunhart, 2013. "Der Klein(st)staat Liechtenstein und seine grossen Nachbarländer: Eine wachstums- und konjunkturanalytische Gegenüberstellung," Arbeitspapiere 44, Liechtenstein-Institut.
    • Handle: RePEc:lii:wpaper:44
    as

    Download full text from publisher

    File URL: http://www.liechtenstein-institut.li/contortionist/0/contortionistUniverses/397/rsc/Publikation_downloadLink/LIAP_044_final_0.pdf
    File Function: First version, 2013
    Download Restriction: no

    References listed on IDEAS

    as
    1. Pantula, Sastry G., 1989. "Testing for Unit Roots in Time Series Data," Econometric Theory, Cambridge University Press, vol. 5(02), pages 256-271, August.
    2. MacKinnon, James G & Haug, Alfred A & Michelis, Leo, 1999. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 563-577, Sept.-Oct.
    3. Sandra Bilek-Steindl, 2012. "On the Change in the Austrian Business Cycle," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2012(1), pages 1-18.
    4. Johansen, Soren, 1992. "Determination of Cointegration Rank in the Presence of a Linear Trend," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 383-397, August.
    5. Peter C. B. Phillips & Bruce E. Hansen, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Oxford University Press, vol. 57(1), pages 99-125.
    6. Gadi Barlevy, 2004. "The Cost of Business Cycles and the Benefits of Stabilization: A Survey," NBER Working Papers 10926, National Bureau of Economic Research, Inc.
    7. repec:bla:restud:v:57:y:1990:i:1:p:99-125 is not listed on IDEAS
    8. Andreas Brunhart, 2014. "Stock Market's Reactions to Revelation of Tax Evasion: An Empirical Assessment," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 150(III), pages 161-190, September.
    9. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    10. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    11. James H. Stock & Mark W. Watson, 2003. "Has the Business Cycle Changed and Why?," NBER Chapters,in: NBER Macroeconomics Annual 2002, Volume 17, pages 159-230 National Bureau of Economic Research, Inc.
    12. Daniel Burren & Klaus Neusser, 2010. "The decline in volatility of US GDP growth," Applied Economics Letters, Taylor & Francis Journals, vol. 17(16), pages 1625-1631.
    13. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
    14. Ahking, Francis W., 2002. "Model mis-specification and Johansen's co-integration analysis: an application to the US money demand," Journal of Macroeconomics, Elsevier, vol. 24(1), pages 51-66, March.
    15. Hansen, Bruce E., 1992. "Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 87-121.
    16. Fisher, Franklin M, 1970. "Tests of Equality Between Sets of Coefficients in Two Linear Regressions: An Expository Note," Econometrica, Econometric Society, vol. 38(2), pages 361-366, March.
    17. Klaus Prettner & Robert Kunst, 2012. "The dynamic interrelations between unequal neighbors: an Austro-German case study," Empirical Economics, Springer, vol. 43(2), pages 741-761, October.
    18. Wolfgang Nierhaus & Jan-Egbert Sturm, 2003. "Methoden der Konjunkturprognose," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(04), pages 7-23, February.
    19. Hansen, Bruce E, 2002. "Tests for Parameter Instability in Regressions with I(1) Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 45-59, January.
    20. Michael Graff, 2011. "International business cycles," KOF Working papers 11-291, KOF Swiss Economic Institute, ETH Zurich.
    21. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    22. Laura González Cabanillas & Eric Ruscher, 2008. "The Great Moderation in the euro area: What role have macroeconomic policies played ?," European Economy - Economic Papers 2008 - 2015 331, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    23. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    24. Brunhart, Andreas, 2012. "Identification of Liechtenstein's Historic Economic Growth and Business Cycles by Econometric Extensions of Data Series," MPRA Paper 44628, University Library of Munich, Germany.
    25. Kersten Kellermann & Carsten-Henning Schlag, 2008. "Struktur und Dynamik der Kleinstvolkswirtschaft Liechtenstein," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(11), pages 41-46, June.
    26. Terence C. Mills & Ping Wang, 2003. "Have output growth rates stabilised? evidence from the g-7 economies," Scottish Journal of Political Economy, Scottish Economic Society, vol. 50(3), pages 232-246, August.
    27. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
    28. MacKinnon, James G, 1996. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 601-618, Nov.-Dec..
    29. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-193, January.
    30. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    31. Kersten Kellermann, 2011. "Too big to fail: a thorn in the side of free markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 38(3), pages 331-349, July.
    32. James H. Stock & Mark W. Watson, 2005. "Understanding Changes In International Business Cycle Dynamics," Journal of the European Economic Association, MIT Press, vol. 3(5), pages 968-1006, September.
    33. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
    34. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    35. Hjelm, Goran & Johansson, Martin W., 2005. "A Monte Carlo study on the pitfalls in determining deterministic components in cointegrating models," Journal of Macroeconomics, Elsevier, vol. 27(4), pages 691-703, December.
    36. John Elder & Peter E. Kennedy, 2001. "Testing for Unit Roots: What Should Students Be Taught?," The Journal of Economic Education, Taylor & Francis Journals, vol. 32(2), pages 137-146, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Andreas Brunhart, 2015. "The Swiss Business Cycle and the Lead of Small Neighbor Liechtenstein," Arbeitspapiere 51, Liechtenstein-Institut.
    2. Andreas Brunhart, 2014. "Methodenbericht zur Schnellschätzung des liechtensteinischen Bruttonationaleinkommens," Arbeitspapiere 47, Liechtenstein-Institut.

    More about this item

    Keywords

    Konjunkturzyklus; Volatilität; Konvergenz; Great Moderation; Great Agitation; Vorlaufindikator; Liechtenstein; Schweiz; Österreich; Deutschland;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • 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
    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • N1 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations
    • O47 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence
    • O52 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Europe

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:lii:wpaper:44. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Cornelia Schuster). General contact details of provider: http://edirc.repec.org/data/lieinli.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.