Determinants of Business Cycles in Small Scale Macroeconomic Models: The German Case

Kiel Working Paper No. 1158

30 Pages Posted: 1 Sep 2003

See all articles by Alfred Maussner

Alfred Maussner

University of Augsburg - Faculty of Business and Economics

Julius Spatz

Independent

Date Written: March 2003

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

JEL Classification: E32, O47

Suggested Citation

Maussner, Alfred and Spatz, Julius, Determinants of Business Cycles in Small Scale Macroeconomic Models: The German Case (March 2003). Kiel Working Paper No. 1158. Available at SSRN: https://ssrn.com/abstract=425740 or http://dx.doi.org/10.2139/ssrn.425740

Alfred Maussner

University of Augsburg - Faculty of Business and Economics ( email )

Universitaetsstr. 16
86135 Augsburg
Germany
+49 821 598 4187 (Phone)
+49 821 598 4231 (Fax)

Julius Spatz (Contact Author)

Independent

No Address Available

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