Short Run Comovement, Persistent Shocks and the Business Cycle / Eine empirische Analyse der Wirkung kurz- und langfristiger Schocks im Konjunkturzyklus

Jörg Breitung () and Heinemann Maik
Additional contact information
Heinemann Maik: Universität Hannover, Institut für Volkswirtschaftslehre, Abt. Wachstum und Verteilung, Königsworther Platz 1, D-30167 Hannover

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1998, vol. 217, issue 4, 436-448

Abstract: Following standard real business cycle theory, long run economic growth and short run business cycle fluctuations are attributed to a series of productivity shocks propagated by the economic system which is assumed to be in a rational expectations equilibrium. Characterizing the technical progress as the common stochastic trend we are able to investigate the short and long run effects of the productivity shocks using a cointegrated system. From the empirical analysis it emerges that the long run relationship between the system variables can be traced back to a single permanent component which is interpreted as a measure of technological progress. The short run dynamic impact of the permanent innovations is investigated using the empirical impulse response functions. It turns out that the permanent shocks are able to explain a substantial portion of business cycle fluctuations.

Keywords: Business cycles; vector autoregression; cointegration; common trends; impulse responses; Konjunkturzyklus; Vektorautoregression; Kointegration; gemeinsame Trends; Impulsantwortanalyse (search for similar items in EconPapers)
Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1515/jbnst-1998-0404 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:217:y:1998:i:4:p:436-448

DOI: 10.1515/jbnst-1998-0404

Access Statistics for this article

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik) is currently edited by Peter Winker

More articles in Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik) from De Gruyter
Bibliographic data for series maintained by Peter Golla ().