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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/18170| Title: | Declining Output Volatility in Germany : Impulses, Propagation, and the Role of Monetary Policy |
| Keywords: | E32 C51 C22 ddc:330 Output Volatility Monetary Policy Markov Switching Model State Space Model Spectral Analysis DSGE model Konjunktur Volatilität Wirtschaftswachstum Hysteresis Strukturwandel Schätzung Deutschland |
| Issue Date: | 16-Oct-2013 |
| Publisher: | Deutsches Institut für Wirtschaftsforschung (DIW) Berlin |
| Description: | We analyse the decline in output volatility in Germany. 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 U.S. results. The structural change is more of a gradual nature than a sudden break. The evolution of Germany's short-term real interest rate volatility coincides with the change of the autoregressive parameter. 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 our hypothesis. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/18170 |
| Other Identifiers: | http://hdl.handle.net/10419/18170 ppn:39096123X |
| Appears in Collections: | EconStor |
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