Inflationäre Schocks in Deutschland: Eine Common Trends Analyse / Inflationary Shocks in Germany: A Common Trends Analysis

Kai Carstensen and Hansen Gerd ()
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Hansen Gerd: Christian-Albrechts-Universität zu Kiel, Wirtschafts- und Sozialwissenschaftlichen Fakultät, Institut für Statistik und Ökonometrie, Olshausenstraße, Germany

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2004, vol. 224, issue 3, 271-291

Abstract: This paper analyses the inflation rate in Germany by means of a common trends model. Starting from an IS-LM model of the open economy, we conduct a cointegration analysis from which we obtain plausible long-run relationships. In the next step, we identify structural shocks with permanent and transitory effects and study their impacts on the inflation rate. We find that permanent supply shocks increase long-run inflation while transitory supply shocks temporarily decrease the inflation rate. Negative inflation expectation shocks clearly have a disinflationary effect in the medium and long run

Keywords: Inflation; Cointegration; Structural VAR analysis; Germany; Inflation; Kointegration; Strukturelle VAR-Analyse; Deutschland; Inflation; Cointegration; Structural VAR analysis; Germany (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:224:y:2004:i:3:p:271-291

DOI: 10.1515/jbnst-2004-0301

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