Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/22007 
Erscheinungsjahr: 
2005
Schriftenreihe/Nr.: 
Economics Working Paper No. 2006-02
Verlag: 
Kiel University, Department of Economics, Kiel
Zusammenfassung: 
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.
Schlagwörter: 
business cycle models
Gibbs sampling
Markov Chain Monte Carlo
regime switching
structural breaks
JEL: 
C11
C15
C32
E32
Dokumentart: 
Working Paper

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