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Die westdeutsche Konjunktur: Nur ein Random Walk?

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  • Scheide, Joachim

Abstract

Der Beitrag befaßt sich mit der Relevanz der random walk-Hypothese für makroökonomische Zeitreihen, die eng verbunden ist mit der Theorie der realwirtschaftlich bedingten Konjunkturzyklen. Empirische Tests für insgesamt 17 nominale und reale Variablen (1953-1987) ergeben, daß die random-walk-Hypothese für die Bundesrepublik Deutschland im großen und ganzen nicht abgelehnt werden kann. Doch bleiben bezüglich der Testergebnisse Zweifel, da die Residuen häufig noch autokorreliert sind. Auch wegen der bekannten Unsicherheit hinsichtlich der Robustheit der Tests besteht die Möglichkeit, daß die Geldpolitik, anders als die real business cycle theory behauptet, doch eine wichtige Rolle für die wirtschaftliche Aktivität spielt. Diese These wird abschließend auch im Lichte anderer empirischer Untersuchungen diskutiert. Offenbar können reale Schocks allein die Konjunkturschwankungen nicht erklären.

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  • Scheide, Joachim, 1990. "Die westdeutsche Konjunktur: Nur ein Random Walk?," Open Access Publications from Kiel Institute for the World Economy 1437, Kiel Institute for the World Economy (IfW Kiel).
    • Handle: RePEc:zbw:ifwkie:1437
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    Cited by:

    1. Döpke, Jörg, 1993. "Alternative Ansätze zur Schätzung des gesamtwirtschaftlichen Produktionspotentials," Kiel Working Papers 591, Kiel Institute for the World Economy (IfW Kiel).
    2. Jörg Döpke & Christian Pierdzioch, 2000. "Stock Market Dispersion, Sectoral Shocks, and the German Business Cycle," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 136(IV), pages 531-555, December.

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