Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22007
Authors: 
Liesenfeld, Roman
Hogrefe, Jens
Aßmann, Christian
Year of Publication: 
2005
Series/Report no.: 
Economics working paper / Christian-Albrechts-Universität Kiel, Department of Economics 2006,02
Abstract: 
Empirical evidence suggests a sharp volatility decline of the growth in U.S. gross domestic product (GDP) in the mid-1980s. Using Bayesian methods, we analyze whether a volatility reduction can also be detected for the German GDP. Since statistical inference for volatility processes critically depends on the specification of the conditional mean we assume for our volatility analysis different time series models for GDP growth. We find across all specifications evidence for an output stabilization around 1993, after the downturn following the boom associated with the German reunification. However, the different GDP models lead to alternative characterizations of this stabilization : In a linear AR model it shows up as smaller shocks hitting the economy, while regime switching models reveal as further sources for a stabilization, a narrowing gap between growth rates during booms and recessions or flatter trajectories characterizing the GDP growth rates. Furthermore, it appears that the reunification interrupted an output stabilization emerging already around 1987.
Subjects: 
business cycle models
Gibbs sampling
Markov Chain Monte Carlo
regime switching
structural breaks
JEL: 
C11
C15
C32
E32
Document Type: 
Working Paper

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