IDEAS home Printed from https://ideas.repec.org/p/zbw/ifwkie/1437.html
   My bibliography  Save this paper

Die westdeutsche Konjunktur: Nur ein Random Walk?

Author

Listed:
  • Scheide, Joachim

Abstract

Der Beitrag befaßt sich mit der Relevanz der random walk-Hypothese für makroökonomische Zeitreihen, die eng verbunden ist mit der Theorie der realwirtschaftlich bedingten Konjunkturzyklen. Empirische Tests für insgesamt 17 nominale und reale Variablen (1953-1987) ergeben, daß die random-walk-Hypothese für die Bundesrepublik Deutschland im großen und ganzen nicht abgelehnt werden kann. Doch bleiben bezüglich der Testergebnisse Zweifel, da die Residuen häufig noch autokorreliert sind. Auch wegen der bekannten Unsicherheit hinsichtlich der Robustheit der Tests besteht die Möglichkeit, daß die Geldpolitik, anders als die real business cycle theory behauptet, doch eine wichtige Rolle für die wirtschaftliche Aktivität spielt. Diese These wird abschließend auch im Lichte anderer empirischer Untersuchungen diskutiert. Offenbar können reale Schocks allein die Konjunkturschwankungen nicht erklären.

Suggested Citation

  • Scheide, Joachim, 1990. "Die westdeutsche Konjunktur: Nur ein Random Walk?," Open Access Publications from Kiel Institute for the World Economy 1437, Kiel Institute for the World Economy (IfW Kiel).
    • Handle: RePEc:zbw:ifwkie:1437
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/1437/1/730243249.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Stock, James H & Watson, Mark W, 1988. "Variable Trends in Economic Time Series," Journal of Economic Perspectives, American Economic Association, vol. 2(3), pages 147-174, Summer.
    2. Brunner, Karl & Meltzer, Allan H., 1985. "Understanding monetary regimes," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 22(1), pages 1-8, January.
    3. Stulz, Rene M. & Wasserfallen, Walter, 1985. "Macroeconomic time-series, business cycles and macroeconomic policies," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 22(1), pages 9-53, January.
    4. Boss, Alfred, 1987. "Zur Messung des gesamtwirtschaftlichen Produktionspotentials," Kiel Working Papers 285, Kiel Institute for the World Economy (IfW Kiel).
    5. Joachim Scheide, 1989. "A K-percent rule for monetary policy in West Germany," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 125(2), pages 326-336, June.
    6. Scheide, Joachim, 1989. "On real and monetary explanations of business cycles in West Germany," Kiel Working Papers 356, Kiel Institute for the World Economy (IfW Kiel).
    7. Sims, Christopher A, 1980. "Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered," American Economic Review, American Economic Association, vol. 70(2), pages 250-257, May.
    8. Scheide, Joachim, 1984. "Geldpolitik, Konjunktur und rationale Erwartungen," Open Access Publications from Kiel Institute for the World Economy 378, Kiel Institute for the World Economy (IfW Kiel).
    9. Scheide, Joachim, 1989. "A k-percent rule for monetary policy in West Germany," Open Access Publications from Kiel Institute for the World Economy 1396, Kiel Institute for the World Economy (IfW Kiel).
    10. Brunner, Karl & Meltzer, Allan H., 1986. "Real business cycles, real exchange rates, and actual policies," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 1-10, January.
    11. Kydland, Finn E & Prescott, Edward C, 1982. "Time to Build and Aggregate Fluctuations," Econometrica, Econometric Society, vol. 50(6), pages 1345-1370, November.
    12. Cochrane, John H, 1988. "How Big Is the Random Walk in GNP?," Journal of Political Economy, University of Chicago Press, vol. 96(5), pages 893-920, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Döpke, Jörg, 1993. "Alternative Ansätze zur Schätzung des gesamtwirtschaftlichen Produktionspotentials," Kiel Working Papers 591, Kiel Institute for the World Economy (IfW Kiel).
    2. Jörg Döpke & Christian Pierdzioch, 2000. "Stock Market Dispersion, Sectoral Shocks, and the German Business Cycle," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 136(IV), pages 531-555, December.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Scheide, Joachim, 1989. "On real and monetary explanations of business cycles in West Germany," Kiel Working Papers 356, Kiel Institute for the World Economy (IfW Kiel).
    2. Joachim Scheide, 1989. "On Real and Monetary Causes for Business Cycles in West Germany," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 125(IV), pages 583-595, December.
    3. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220, National Bureau of Economic Research, Inc.
    4. McCallum, Bennett T, 1986. "On "Real' and "Sticky-Price' Theories of the Business Cycle," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 18(4), pages 397-414, November.
    5. Duo Qin, 2010. "Econometric Studies of Business Cycles in the History of Econometrics," Working Papers 669, Queen Mary University of London, School of Economics and Finance.
    6. Froyen, Richard T & Waud, Roger N, 1988. "Real Business Cycles and the Lucas Paradigm," Economic Inquiry, Western Economic Association International, vol. 26(2), pages 183-201, April.
    7. Gordon, David B & Leeper, Eric M, 1994. "The Dynamic Impacts of Monetary Policy: An Exercise in Tentative Identification," Journal of Political Economy, University of Chicago Press, vol. 102(6), pages 1228-1247, December.
    8. Michaelides, Panayotis G. & Milios, John G. & Konstantakis, Konstantinos N. & Tarnaras, Panayiotis, 2015. "Quantity-of-money fluctuations and economic instability: empirical evidence for the USA (1958–2006)," MPRA Paper 90145, University Library of Munich, Germany.
    9. Stephen Millard & Andrew Scott & Marianne Sensier, 1999. "Business cycles and the labour market can theory fit the facts?," Bank of England working papers 93, Bank of England.
    10. John H. Cochrane, 2017. "Macro-Finance," Review of Finance, European Finance Association, vol. 21(3), pages 945-985.
    11. Chang, Yongsung & Kwark, Noh-Sun, 2001. "Decomposition of hours based on extensive and intensive margins of labor," Economics Letters, Elsevier, vol. 72(3), pages 361-367, September.
    12. Adrian C. Darnell, 1994. "A Dictionary Of Econometrics," Books, Edward Elgar Publishing, number 118.
    13. Victor Olkhov, 2018. "How Macro Transactions Describe the Evolution and Fluctuation of Financial Variables," IJFS, MDPI, vol. 6(2), pages 1-19, March.
    14. Leijonhufvud, Axel, 1983. "What would Keynes have thought of rational expectations?," Discussion Papers, Series I 177, University of Konstanz, Department of Economics.
    15. Perron, Pierre & Wada, Tatsuma, 2009. "Let's take a break: Trends and cycles in US real GDP," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 749-765, September.
    16. Francis X. Diebold, 1998. "The Past, Present, and Future of Macroeconomic Forecasting," Journal of Economic Perspectives, American Economic Association, vol. 12(2), pages 175-192, Spring.
    17. Poole, William, 1988. "Monetary Policy Lessons of Recent Inflation and Disinflation," Journal of Economic Perspectives, American Economic Association, vol. 2(3), pages 73-100, Summer.
    18. Neuhoff, Daniel, 2015. "Dynamics of real per capita GDP," SFB 649 Discussion Papers 2015-039, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    19. Ramey, V.A., 2016. "Macroeconomic Shocks and Their Propagation," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 71-162, Elsevier.
    20. Rabanal, Cristian & Baronio, Alfredo Mario, 2010. "Alternativas para la modelización de tendencias y ciclos en la economía argentina, 1880-2009/Alternatives for Modeling Trends and Cycles in Argentina's Economy, 1880 - 2009," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 28, pages 651-670, Diciembre.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:ifwkie:1437. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/iwkiede.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.