Real-time data and business cycle analysis in Germany:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Frankfurt am Main
Dt. Bundesbank
2004
|
| Series: | Discussion paper / Deutsche Bundesbank : Series 1: Studies of the Economic Research Centre
2004,11 |
| Subjects: | |
| Online Access: | Volltext Inhaltsverzeichnis |
| Item Description: | Zsfassung in dt. Sprache |
| Physical Description: | 41 S. graph. Darst. |
| ISBN: | 3935821905 |
Staff View
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Record in the Search Index
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|---|---|
| adam_text | Contents
1 Introduction I
2 Selected related literature 3
3 Data and business cycle measures 4
3.1 Data 4
3.2 Business cycle measures 7
3.2.1 Changes over previous periods 7
3.2.2 Linear detrending 7
3.2.3 Quadratic detrending 8
3.2.4 Hodrick Prescott filter 8
3.2.5 Band pass filter 9
3.2.6 Unobserved component model 10
4 Evaluating the measures 10
4.1 Summary statistics 11
4.2 Are real time output gaps a rational forecast of the final date? 14
4.3 Business cycle turning points 15
4.4 Information content for future inflation 22
4.5 Identification of macroeconomic shocks 25
4.6 The robustness of stylised facts 30
5 Conclusions 31
References 34
Lists of Tables and Figures
Table 1 Summary statistics of output gap measures in Germany, 12
1980 I to 2001 IV
Table 2 Summary statistics on revisions 13
Final versus real time estimates, 1980 I to 2001 IV
Table 3 Are preliminary output gaps rational forecasts of the 15
final estimate ?
Table 4 Classification of revisions 18
Table 5 Test of information content regarding the sign of the 19
final output gap estimate
Table 6 Tests for Granger non causality of output gap revisions 21
and macroeconomic variables
Table 7 Revisions around business cycle turning points, 1980 I to 22
2001IV
Table 8 Inflation content for future inflation, 1980 to 1998 24
Table 9 Real time data and the output price correlation, 1980 I to 30
2001IV
Table 10 Overview over selected results 32
Figure 1 Scheme of different data sets 6
Figure 2 Output and output gaps in Germany based on different 16
date sets
Figure 3 Revisions of output gap estimates in Germany 17
Figure 4 Impulse response functions of three variable VAR 26
(quarters after shock)
Figure 5 Impulse responses of the output gap to innovations in the 28
interest rate equation bases on different data sets and
alternative methods of estimating the output gap
Figure 6 Data vintage and impulse response functions: the price 29
puzzle
Figure 7 Data vintage and impulse response functions: interest 29
rate persistence
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| geographic_facet | Deutschland |
| id | DE-604.BV019325667 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T19:57:42Z |
| institution | BVB |
| isbn | 3935821905 |
| language | English |
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| physical | 41 S. graph. Darst. |
| psigel | ebook |
| publishDate | 2004 |
| publishDateSearch | 2004 |
| publishDateSort | 2004 |
| publisher | Dt. Bundesbank |
| record_format | marc |
| series2 | Discussion paper / Deutsche Bundesbank : Series 1: Studies of the Economic Research Centre |
| spelling | Döpke, Jörg 1963- Verfasser (DE-588)113395841 aut Real-time data and business cycle analysis in Germany Jörg Döpke Frankfurt am Main Dt. Bundesbank 2004 41 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Discussion paper / Deutsche Bundesbank : Series 1: Studies of the Economic Research Centre 2004,11 Zsfassung in dt. Sprache Analyse (DE-588)4122795-5 gnd rswk-swf Konjunktur (DE-588)4032125-3 gnd rswk-swf Deutschland (DE-588)4011882-4 gnd rswk-swf Deutschland (DE-588)4011882-4 g Konjunktur (DE-588)4032125-3 s Analyse (DE-588)4122795-5 s DE-604 Deutsche Bundesbank Discussion paper Series 1: Studies of the Economic Research Centre ; 2004,11 (DE-604)BV017594637 2004,11 http://hdl.handle.net/10419/19478 Verlag kostenfrei Volltext HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012792764&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Döpke, Jörg 1963- Real-time data and business cycle analysis in Germany Analyse (DE-588)4122795-5 gnd Konjunktur (DE-588)4032125-3 gnd |
| subject_GND | (DE-588)4122795-5 (DE-588)4032125-3 (DE-588)4011882-4 |
| title | Real-time data and business cycle analysis in Germany |
| title_auth | Real-time data and business cycle analysis in Germany |
| title_exact_search | Real-time data and business cycle analysis in Germany |
| title_full | Real-time data and business cycle analysis in Germany Jörg Döpke |
| title_fullStr | Real-time data and business cycle analysis in Germany Jörg Döpke |
| title_full_unstemmed | Real-time data and business cycle analysis in Germany Jörg Döpke |
| title_short | Real-time data and business cycle analysis in Germany |
| title_sort | real time data and business cycle analysis in germany |
| topic | Analyse (DE-588)4122795-5 gnd Konjunktur (DE-588)4032125-3 gnd |
| topic_facet | Analyse Konjunktur Deutschland |
| url | http://hdl.handle.net/10419/19478 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012792764&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV017594637 |
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