Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/82327
Authors: 
Abildgren, Kim
Year of Publication: 
2010
Series/Report no.: 
Danmarks Nationalbank Working Papers 71
Abstract: 
In Denmark official quarterly national accounts are only available for the period since 1977. The paper constructs a set of summary non-seasonally adjusted quarterly national accounts for Denmark for 1948-2010 in current and constant prices as well as a set of other key quarterly macroeconomic indicators covering the Danish economy since 1948. As a first exploratory analysis of these two new data sets the paper reviews some of the stylised empirical evidence on the business cycle, the monetary transmission mechanism and shocks to financial stability that can be uncovered using filtering techniques and reduced-form vector autoregressive (VAR) models. The long-span data sets make it possible to estimate VAR models of a higher dimension than is usually found in the literature due to degrees-of-freedom problems. The results from the VAR analysis indicate a significant and long-lasting negative impact on real GDP following an exogenous shock to the banking sector's write-down ratio.
Subjects: 
Quarterly national accounts
Danish economic history
business cycles
monetary transmission
financial stability
band-pass filters
VAR analysis
JEL: 
C32
C82
E01
E32
E44
E52
N14
Document Type: 
Working Paper

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