Declining output volatility in Germany: impulses, propagation, and the role of monetary policy

Authors: Fritsche, Ulrich1; Kuzin, Vladimir2

Source: Applied Economics, Volume 37, Number 21, Number 21/10 December 2005 , pp. 2445-2457(13)

Publisher: Routledge, part of the Taylor & Francis Group

Buy & download fulltext article:

OR

Price: $54.28 plus tax (Refund Policy)

Abstract:

The decline in output volatility in Germany is analysed. A lower level of variance in an autoregressive model of output growth can be either due to a change in the structure of the economy (a change in the propagation mechanism) or a reduced error term variance (reduced impulses). In Germany the decline output volatility is due to a decline in the persistence of the growth process. This is in contrast to the US results, where a break in the variance seems to dominate the decline in persistence. A change in the conduct of monetary policy (the establishment of another monetary policy regime) could be part of an explanation for the change in propagation. Stochastic simulations with a New Keynesian DSGE model support the hypothesis.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/00036840500359317

Affiliations: 1: German Institute of Economic Research (DIW Berlin), Königin-Luise-Str. 5, D-14195 Berlin, Germany 2: Statistics and Econometric Methods, Goethe-University Frankfurt, Gräfstr. 78, D-60054 Frankfurt, Germany

Publication date: December 10, 2005

More about this publication?
Related content

Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content

Text size:

A | A | A | A
Share this item with others: These icons link to social bookmarking sites where readers can share and discover new web pages. print icon Print this page