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Short run comovement, persistent shocks and the business cycle

Publikation: Beiträge in Zeitschriften › Zeitschriftenaufsätze › Forschung › begutachtet

Standard

Short run comovement, persistent shocks and the business cycle. / Heinemann, Maik; Breitung, Jörg.
in: Jahrbücher für Nationalökonomie und Statistik, Jahrgang 217, Nr. 4, 01.08.1998, S. 436-448.

Publikation: Beiträge in Zeitschriften › Zeitschriftenaufsätze › Forschung › begutachtet

Harvard

Heinemann, M & Breitung, J 1998, 'Short run comovement, persistent shocks and the business cycle', Jahrbücher für Nationalökonomie und Statistik, Jg. 217, Nr. 4, S. 436-448. https://doi.org/10.1515/jbnst-1998-0404

APA

Heinemann, M., & Breitung, J. (1998). Short run comovement, persistent shocks and the business cycle. Jahrbücher für Nationalökonomie und Statistik, 217(4), 436-448. https://doi.org/10.1515/jbnst-1998-0404

Vancouver

Heinemann M, Breitung J. Short run comovement, persistent shocks and the business cycle. Jahrbücher für Nationalökonomie und Statistik. 1998 Aug 1;217(4):436-448. doi: 10.1515/jbnst-1998-0404

Bibtex

@article{06a5ff1226c24f9888b2dbf885512b5d,
title = "Short run comovement, persistent shocks and the business cycle",
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.",
keywords = "Economics, empirical/statistics, Business cycles, vector autoregression, cointegration, common trends, impulse responses, Konjunkturzyklus, Vektorautoregression, Kointegration, gemeinsame Trends, Impulsantwortanalyse",
author = "Maik Heinemann and J{\"o}rg Breitung",
note = "This version of the paper benefits from a number of helpful suggestions of Olaf H{\"u}bler, Mark Watson, J{\"u}rgen Wolters and the seminar participants of the Free University of Berlin, the University of Limburg, Maastricht and the C.O.R.E, Louvain-La-Neuve. Moreover, the helpful comments and suggestions of an anonymous referee are gratefully acknowledged. All remaining errors are of course our own.",
year = "1998",
month = aug,
day = "1",
doi = "10.1515/jbnst-1998-0404",
language = "English",
volume = "217",
pages = "436--448",
journal = "Jahrb{\"u}cher f{\"u}r National{\"o}konomie und Statistik",
issn = "0021-4027",
publisher = "Walter de Gruyter GmbH",
number = "4",

}

RIS

TY - JOUR

T1 - Short run comovement, persistent shocks and the business cycle

AU - Heinemann, Maik

AU - Breitung, Jörg

N1 - This version of the paper benefits from a number of helpful suggestions of Olaf Hübler, Mark Watson, Jürgen Wolters and the seminar participants of the Free University of Berlin, the University of Limburg, Maastricht and the C.O.R.E, Louvain-La-Neuve. Moreover, the helpful comments and suggestions of an anonymous referee are gratefully acknowledged. All remaining errors are of course our own.

PY - 1998/8/1

Y1 - 1998/8/1

N2 - 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.

AB - 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.

KW - Economics, empirical/statistics

KW - Business cycles

KW - vector autoregression

KW - cointegration

KW - common trends

KW - impulse responses

KW - Konjunkturzyklus

KW - Vektorautoregression

KW - Kointegration

KW - gemeinsame Trends

KW - Impulsantwortanalyse

UR - http://www.scopus.com/inward/record.url?scp=3042948967&partnerID=8YFLogxK

UR - https://www.mendeley.com/catalogue/554751c3-2041-3bd7-a784-dce526492e8e/

U2 - 10.1515/jbnst-1998-0404

DO - 10.1515/jbnst-1998-0404

M3 - Journal articles

VL - 217

SP - 436

EP - 448

JO - Jahrbücher für Nationalökonomie und Statistik

JF - Jahrbücher für Nationalökonomie und Statistik

SN - 0021-4027

IS - 4

ER -

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