EconPapers    
Economics at your fingertips  
 

Declining output volatility in Germany: impulses, propagation, and the role of monetary policy

Ulrich Fritsche () and Vladimir Kuzin

Applied Economics, 2005, vol. 37, issue 21, 2445-2457

Abstract: The decline in output volatility in Germany is analysed. 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 decline output volatility is due to a decline in the persistence of the growth process. This is in contrast to the US results, where a break in the variance seems to dominate the decline in persistence. A change in the conduct of monetary policy (the establishment of another monetary policy regime) could be part of an explanation for the change in propagation. Stochastic simulations with a New Keynesian DSGE model support the hypothesis.

Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/00036840500359317 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Declining Output Volatility in Germany: Impulses, Propagation, and the Role of Monetary Policy (2004) Downloads
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:taf:applec:v:37:y:2005:i:21:p:2445-2457

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2019-05-29
Handle: RePEc:taf:applec:v:37:y:2005:i:21:p:2445-2457