Stabilitätskonzepte am Beispiel Österreichs

Summary

This paper examines two aspects of equilibrium — and stability concepts, which go beyond the traditional analyses. Firstly the speed by which a systems returns to the equilibrium position after an initial disturbance and, secondly, the introduction of stochastic elements in the analysis of stability. Both aspects are presented against the background of a simple model of the Austrian economy.

It is known that a system of difference equations is stable if the greatest sigenvalue is smaller than one. In trying to estimate confidence intervals it can be shown that an evaluation according to deterministic criteria alone can indeed be misleading, even though the probability of an instable solution is small in the model under examiniation.

The speed, by which a system returns to the equilibrium position after an initial disturbance, is measured by the half-life-period. This is the time it takes for the effects of the initial disturbance to be reduced to half their original values. In the model under examination the half-line amounts to one year (real solution) or two years (complex solution) respectively. If we take the stochastic nature of the eigenvalues into consideration, we get, for the 95% level of significance, figures of 3 months to 6 years in the real case. The large spread results from the fact that the half-life-concept is very sensitive even towards minor changes in the eigenvalues.

This paper shows that the conventional methods of estimation of coefficients in stability-analyses are not sufficiently accurate.