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Empirical Economics

, 37:653 | Cite as

The decline in German output volatility: a Bayesian analysis

  • Christian AßmannEmail author
  • Jens Hogrefe
  • Roman Liesenfeld
Original Paper
  • 103 Downloads

Abstract

Using Bayesian methods, we analyze whether a volatility reduction as documented for growth of U.S. gross domestic product (GDP) in the mid-1980s can also be detected for German GDP growth. Our analysis is based on different time series models allowing for alternative characterizations of output stabilization. Across all models we find empirical evidence for a decline in the output volatility around 1993. Furthermore, we assess competing explanations for reduced output volatility. Our empirical results suggest that the main source for the volatility reduction is an ongoing structural shift accelerated by the German reunification and accompanied by changes in the correlation structure between individual GDP components.

Keywords

Business cycle models MCMC methods Regime switching models Structural breaks 

JEL Classification

C15 C22 C52 

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Copyright information

© Springer-Verlag 2008

Authors and Affiliations

  • Christian Aßmann
    • 1
    Email author
  • Jens Hogrefe
    • 2
  • Roman Liesenfeld
    • 1
  1. 1.Department of EconomicsChristian-Albrechts-UniversitätKielGermany
  2. 2.Kiel Institute for the World EconomyKielGermany

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