The decline in German output volatility: a Bayesian analysis |
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Authors: | Christian Aßmann Jens Hogrefe Roman Liesenfeld |
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Institution: | (1) Department of Real Estate, National University of Singapore, 4 Architecture Drive, Singapore, 117566, Singapore |
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Abstract: | Using Bayesian methods, we analyze whether a volatility reduction as documented for growth of U.S. gross domestic product
(GDP) in the mid-1980s can also be detected for German GDP growth. Our analysis is based on different time series models allowing
for alternative characterizations of output stabilization. Across all models we find empirical evidence for a decline in the
output volatility around 1993. Furthermore, we assess competing explanations for reduced output volatility. Our empirical
results suggest that the main source for the volatility reduction is an ongoing structural shift accelerated by the German
reunification and accompanied by changes in the correlation structure between individual GDP components. |
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Keywords: | |
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