We analyse the decline in output volatility in Germany. A lower level of variance in an autoregressive model of output growth can be either due to a change in the structure of the economy (a change in the propagation mechanism) or a reduced error term variance (reduced impulses). In Germany the...

We propose a general framework for measuring frequency dynamics of connectedness in economic variables based on spectral representation of variance decompositions. We argue that the frequency dynamics is insightful when studying the connectedness of variables as shocks with heterogeneous...

This paper applies volatility measures and VAR spectral analytic techniques to give a thorough description of the salient business cycle characteristics of central NIPA aggregates for the G7. Furthermore, their role in contributing to the supranational G7 and EURO15 cyclic dynamics is...