 Time‐Varying Dynamics of the German Business Cycle: A Comprehensive InvestigationOxford Bulletin of Economics and Statistics, 2022, vol. 84, issue 1, 80-102 Abstract: This paper provides insights into the time‐varying dynamics of the German business cycle over the last five decades. To do so, I employ an open‐economy time‐varying parameter VAR with stochastic volatility, which I estimate by quasi‐Bayesian techniques. The reduced‐form analysis reveals substantial shifts in the variables’ long‐run growth rates and shock volatilities over time. German trend inflation has strongly decreased and settled at a historically low level. GDP growth volatility exhibits marked fluctuations over time and has dropped to historically low levels only after the global financial crisis. The structural analysis employs externally identified oil supply shocks along with a recursive identification scheme to identify key macroeconomic shocks. The analysis reveals strong fluctuations in both the impact responses of macroeconomic aggregates to these shocks and the shock propagation processes. Thus, I conclude that business cycle stabilization in Germany is driven by both good policy and good luck. Date: 2022 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bla:obuest:v:84:y:2022:i:1:p:80-102 Ordering information: This journal article can be ordered from Access Statistics for this article Oxford Bulletin of Economics and Statistics is currently edited by Christopher Adam, Anindya Banerjee, Christopher Bowdler, David Hendry, Adriaan Kalwij, John Knight and Jonathan Temple More articles in Oxford Bulletin of Economics and Statistics from Department of Economics, University of Oxford Contact information at EDIRC. |
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