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Do bivariate SVAR models with long-run identifying restrictions yield reliable results? : the case of Germany
Gottschalk, Jan; Van Zandweghe, Willem - 2001
Bivariate SVAR models employing long-run identifying restrictions are often used to investigate the source of business cycle fluctuations. Their advantage is the simplicity in use and interpretation. However, their low dimension may also lead to a failure of the identification procedure, with...
Persistent link: https://www.econbiz.de/10011476382
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Higher-order income risk over the business cycle
Busch, Christopher; Ludwig, Alexander - 2020
We extend the canonical income process with persistent and transitory risk to shock distributions with left … data from the United States. We find countercyclical variance and procyclical skewness of persistent shocks. All shock …
Persistent link: https://www.econbiz.de/10012182809
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Higher-order income risk over the business cycle
Busch, Christopher; Ludwig, Alexander - 2020
We extend the canonical income process with persistent and transitory risk to shock distributions with left … data from the United States. We find countercyclical variance and procyclical skewness of persistent shocks. All shock …
Persistent link: https://www.econbiz.de/10012215285
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Sources and Propagation of International Cycles : Common Shocks or Transmission?
Marrinan, Jane; Canova, Fabio - 2014
This paper studies the generation and transmission of international cycles in a multi-country model with production and consumption interdependencies. Two sources of disturbance are considered, and three channels of propagation are compared. In the short run the contemporaneous correlation of...
Persistent link: https://www.econbiz.de/10014089398
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Do expectations matter? : reassessing the effect of government spending on key macroeconomic variables in Germany
Gründler, Klaus; Sauerhammer, Sarah - 2016
This paper investigates the effects of government spending on key macroeconomic variables in Germany. It contributes to the ongoing debate on how to properly identify exogenous fiscal shocks in the data and on whether or not the government should intervene in the business cycle. Following Ramey...
Persistent link: https://www.econbiz.de/10011525541
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Surprise, surprise - measuring firm-level investment innovations
Bachmann, Ruediger; Elstner, Steffen; Hristov, Atanas - In: Journal of economic dynamics & control 83 (2017), pp. 107-148
Persistent link: https://www.econbiz.de/10011915582
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Conditional patterns of unemployment dynamics in Germany : conference paper
Nordmeier, Daniela; Weber, Enzo - 2013
identify a technology shock and two policy shocks by using standard restrictions. Interestingly, the worker reallocation … process varies substantially with the identified shocks. The job finding rate plays a larger role after a technology shock and … a monetary policy shock, while the separation rate appears as the dominant margin after a fiscal policy shock …
Persistent link: https://www.econbiz.de/10010336262
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The German manufacturing sector is a granular economy
Wagner, Joachim - 2011
Using the approach suggested by Gabaix (Econometrica 2011) this paper demonstrates that idiosyncratic shocks in the largest firms are important for an understanding of aggregate volatility in German manufacturing industries. The implications of this finding for theoretical and empirical research...
Persistent link: https://www.econbiz.de/10009519874
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A tale of two countries: a comparison of the aggregate effects of sectoral reallocation in the United States and Germany
Reicher, Christopher Phillip - 2011
This paper compares the aggregate effects of sectoral reallocation in the United States and Western Germany using a stochastic volatility model of sectoral employment growth. Reallocative shocks have no effect on the natural rate of unemployment in either country, and there is mild evidence that...
Persistent link: https://www.econbiz.de/10009232258
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The impact of fiscal policy on economic activity over the business cycle : evidence from a threshold VAR analysis
Baum, Anja; Koester, Gerrit B. - 2011
Does the state of the business cycle matter for the effects of fiscal policy shocks on GDP? This study analyses quarterly German data from 1976 to 2009 in a threshold SVAR, expanding the SVAR approach by Blanchard and Perotti (2002). In a linear benchmark SVAR, the analysis finds that hiking...
Persistent link: https://www.econbiz.de/10008936115