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Stochastic properties of a linear econometric model of the Federal Republic of Germany

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Summary

This paper investigates the cyclical behavior of four alternative estimates of the van derWerf-Beckmann-Uebe model under the usual assumptions that the exogenous variables are fixed and that the disturbances are serially uncorrelated. As this model is linear we use a spectral analytical approach based on the theory of linear transformations of stochastic processes. We find that time paths of the endogenous variables implied by the disturbances of the four estimates of the model have different shapes in regard to periodicity and variability. But in all cases these cycles are longer than the generally observed five-year business cycle of the Federal Republic of Germany.

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Abbreviations

A :

employees

A D :

German employees

C :

current consumer expenditure

c :

real consumer expenditure

D :

current depreciation

G :

current total government expenditure

g :

real total government expenditure

I a :

current investment in equipment

i a :

real investment in equipment

i b :

real construction investment

L :

current wage income

L A :

current wage income per capita

L D :

wage income and transfer payments net of taxes

l O :

index of average industrial wage rate

M :

current imports of goods and services

m :

real imports of goods and services

P C :

implicit deflator for consumption expenditure

P G :

implicit deflator for government expenditure

P I :

implicit deflator for investment in equipment

P M :

implicit deflator for imports

P Y :

implicit deflator for gross national product

Q :

current profit and property income

Q D :

current profit and property income net of taxes

T L :

payments of payroll taxes and social security taxes

T Q :

payments of profits taxes

v :

real inventory investment

X :

current exports of goods and services

x :

real exports of goods and services

Y :

current gross national product at market prices

y :

real gross national product at market prices

A A :

foreign employees

d M :

dummy-variable for change in the exchange rate

F :

index of freight rates

G 1 :

government expenditure on material

G 2 :

government expenditure on personal

P X :

implicit deflator for exports

r :

bond rate

T C :

payments of sales taxes

T auC :

dummy-variable for change in sales taxes

T M :

payments of customs

T R :

transfer payments

T Y :

payments of indirect taxes less subvention payments

Y M :

composite national products of 15 import countries

Y X :

composite national products of 15 export countries

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Authors and Affiliations

  1. Lehrstuhl für Volkswirtschaftslehre b.w. II, Universität Mannheim, Seminargebäude A5, D-68, Mannheim

    J. Wolters

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  1. J. Wolters
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I wish to thank Prof. Dr.H. König for helpful advice and comments and Dr.G. Uebe and Dr.J. Fisher who made the model and the data available to me.

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Wolters, J. Stochastic properties of a linear econometric model of the Federal Republic of Germany. Empirical Economics 1, 167–188 (1976). https://doi.org/10.1007/BF01764688

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