Time‐Varying Dynamics of the German Business Cycle: A Comprehensive Investigation*
使用时变参数VAR模型研究德国过去五十年商业周期的动态变化，发现趋势通胀和GDP增长波动率随时间显著变化，且商业周期稳定既得益于好政策也得益于好运气。
Abstract This paper provides insights into the time‐varying dynamics of the German business cycle over the last five decades. To do so, I employ an open‐economy time‐varying parameter VAR with stochastic volatility, which I estimate by quasi‐Bayesian techniques. The reduced‐form analysis reveals substantial shifts in the variables’ long‐run growth rates and shock volatilities over time. German trend inflation has strongly decreased and settled at a historically low level. GDP growth volatility exhibits marked fluctuations over time and has dropped to historically low levels only after the global financial crisis. The structural analysis employs externally identified oil supply shocks along with a recursive identification scheme to identify key macroeconomic shocks. The analysis reveals strong fluctuations in both the impact responses of macroeconomic aggregates to these shocks and the shock propagation processes. Thus, I conclude that business cycle stabilization in Germany is driven by both good policy and good luck.