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Declining output volatility in Germany: impulses, propagation, and the role of monetary policy.
- Source :
- Applied Economics; 12/10/2005, Vol. 37 Issue 21, p2445-2457, 13p, 6 Charts, 7 Graphs
- Publication Year :
- 2005
-
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. [ABSTRACT FROM AUTHOR]
- Subjects :
- PRODUCTION (Economic theory)
MARKET volatility
MONETARY policy
GERMAN economy
Subjects
Details
- Language :
- English
- ISSN :
- 00036846
- Volume :
- 37
- Issue :
- 21
- Database :
- Complementary Index
- Journal :
- Applied Economics
- Publication Type :
- Academic Journal
- Accession number :
- 19235615
- Full Text :
- https://doi.org/10.1080/00036840500359317