Kiel Working Papers, Kiel Institute for World Economics
No 1158:
Determinants of Business Cycles in Small Scale Macroeconomic Models: The German Case
Alfred Maussner and Julius Spatz
Abstract: We identify measures of shocks to total factor
productivity and preferences from two real business cycle models and
subject them to Granger causality tests to see whether they can be
considered exogenous to other plausible sources of the German business
cycle. For the period 60.i to 89.iv no variable Granger causes the shock
measures, and for the period 70.i to 01.iv, only M3 does. We attribute the
latter result to the breaks in our time series associated with the German
reunification in 1990 and the European Monetary Union in 1999. We, thus,
find no evidence to reject the exogeneity of our shock measures. Our
findings contrast with similar studies for other countries that question
the exogeneity of either productivity or preference shocks.
Keywords: Real Business Cycles, Solow Residual, Granger Causality; (follow links to similar papers)
JEL-Codes: E32; O47; (follow links to similar papers)
30 pages, March 2003
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