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Short Run Comovement, Persistent Shocks and the Business Cycle / Eine empirische Analyse der Wirkung kurz- und langfristiger Schocks im Konjunkturzyklus

Author

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  • Breitung Jörg

    (Humboldt Universität zu Berlin, Institut für Statistik und Ökonometrie, Spandauer Straße 1, D-10178 Berlin)

  • Heinemann Maik

    (Universität Hannover, Institut für Volkswirtschaftslehre, Abt. Wachstum und Verteilung, Königsworther Platz 1, D-30167 Hannover)

Abstract

Following standard real business cycle theory, long run economic growth and short run business cycle fluctuations are attributed to a series of productivity shocks propagated by the economic system which is assumed to be in a rational expectations equilibrium. Characterizing the technical progress as the common stochastic trend we are able to investigate the short and long run effects of the productivity shocks using a cointegrated system. From the empirical analysis it emerges that the long run relationship between the system variables can be traced back to a single permanent component which is interpreted as a measure of technological progress. The short run dynamic impact of the permanent innovations is investigated using the empirical impulse response functions. It turns out that the permanent shocks are able to explain a substantial portion of business cycle fluctuations.

Suggested Citation

  • Breitung Jörg & Heinemann Maik, 1998. "Short Run Comovement, Persistent Shocks and the Business Cycle / Eine empirische Analyse der Wirkung kurz- und langfristiger Schocks im Konjunkturzyklus," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 217(4), pages 436-448, August.
    • Handle: RePEc:jns:jbstat:v:217:y:1998:i:4:p:436-448
    DOI: 10.1515/jbnst-1998-0404
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    Cited by:

    1. Ferraresi Tommaso & Roventini Andrea & Semmler Willi, 2019. "Macroeconomic Regimes, Technological Shocks and Employment Dynamics," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 239(4), pages 599-625, August.

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