External refereed essays

Declining Output Volatility in Germany: Impulses, Propagation and the Role of Monetary Policy

The decline in output volatility in Germany is analysed. A lower level of variance in an autoregressive model of output growth can be either due to a change in the structure of the economy (a change in the propagation mechanism) or a reduced error term variance (reduced impulses). In Germany the decline output volatility is due to a decline in the persistence of the growth process. This is in contrast ...

Measuring and Predicting Turning Points Using a Dynamic Bi-Factor Model

In this paper a dynamic bi-factor model with Markov-switching is developed to measure and predict turning points. Both common factors, namely composite leading index (CLI) and composite coincident index (CCI) respectively, have their own cyclical dynamics, and their lead-lag relationships are reflected in the transition probabilities matrix. The model is applied to four coincident and four selected ...

Ökonomie(sierung) und Bildung: Plädoyer für ein entspannteres Verhältnis

Panel Seasonal Unit Root Test: Further Simulation Results and an Application to Unemployment Data

On the Forecasting Properties of the Alternative Leading Indicators for the German GDP: Recent Evidence

In this paper we perform a comparative study of the forecasting properties of the about 30 alternative leading indicators for Germany using the growth rates of German real GDP. In addition to them, we have constructed a diffusion index based on the principal component analysis and including 145 component series that reflect all the facets of German economy. We use the post-unification data which cover ...

Estimating and Forecasting European Migration: Methods, Problems and Results

Convergence of European Spot Market Prices for Natural Gas? A Real-Time Analysis of Market Integration Using the Kalman Filter

This letter provides a textbook example of an econometric analysis of the integration between two commodity markets and the subsequent price convergence or absence thereof. Price relations between spot markets are analysed for natural gas in Europe. The European market for natural gas is currently undergoing a liberalization process with the aim of creating a single, unified market. Time-varying coefficient ...

Long-Run Money Demand in the New EU Member States with Exchange Rate Effects

Within a wide range of other economic and financial indicators, money is highly relevant to the two-pillar monetary strategy of the European Central Bank for detecting risks to price stability over the medium term. Money demand models are a natural benchmark for assessing monetary developments. The existence of a well-specified and stable relation between money and prices can be perceived as a prerequisite ...

Consumption and Disposable Income in the EU Countries: The Role of Wealth Effects

Regional Productivity and Income Convergence in the Unified Germany, 1992 - 2000

This paper investigates regional convergence of labour productivity and income per capita in the period 1992-2000 for the unified Germany using spatial econometric techniques. Up to now only first-order spatial models have been employed in investigating convergence across regions and countries. An exploratory data analysis reveals, however, that the fundamental variables of the convergence equation ...

Thresholds for Employment and Unemployment: A Spatial Analysis of German Regional Labour Markets, 1992-2000

This paper applies Verdoorn's and Okun's law to derive efficient estimates of the employment and unemployment threshold in the Unified Germany. The analysis is built on a disaggregated dataset of regional labour markets, where spatial dependencies are taken into account. Especially, a spatial SUR model is proposed utilising the eigenfunction decomposition approach suggested by Griffith (1996, 2000). ...

A Macroeconometric Model for the Euro Economy

In this paper a structural macroeconometric model for the Euro area is presented. In contrast to the multi-country modelling approach, the model relies on aggregate data on the supra-national level. Due to non-stationarity, all equations are estimated in error correction form. The cointegrating relations are derived jointly with the short-run dynamics, avoiding the finite sample bias of the two-step ...

Export-Led Growth Hypothesis: Evidence for Chile

This study examines the export-led growth hypothesis using annual time series data from Chile. It addresses the problem of specification bias under which previous studies have suffered and focuses on the impact of manufactured and primary exports on the economic growth. In order to investigate if and how manufactured and primary exports affect economic growth via increases in productivity, the study ...

Multicointegration in US Consumption Data

The present study tests for the existence of multicointegration between real per capita private consumption expenditure and real per capita disposable personal income in the USA. In doing so, the study exploits the fact that the flows of disposable income and consumption expenditure on the one hand, and the stock of consumers' wealth, which can be considered as cumulative past discrepancies between ...

Manufacturing Exports, Mining Exports and Growth: Cointegration and Causality Analysis for Chile (1960 -2001)

This study examines the export-led growth hypothesis using annual time series data from Chile in a production function framework. It addresses the problem of specification bias under which previous studies have suffered, and focuses on the impact of manufactured and mining exports on productivity growth. In order to investigate if and how manufactured and mining exports affect economic growth via increases ...

On the Estimation and Forecasting of International Migration: How Relevant is Heterogeneity across Countries?

This paper performs a comparative analysis of estimation as well as of out-of-sample forecasting results of more than 20 estimators common in the panel data literature using the data on migration to Germany from 18 source countries in the period 1967-2001. Our results suggest that the choice of an estimation procedure has a substantial impact on the parameter estimates of the migration function. Out-of-sample ...

Export-Led Growth in Chile: Assessing the Role of Export Composition in Productivity Growth

This study examines the export-led growth hypothesis using annual time-series data from Chile in a production function framework. It addresses the limitations of the existing literature and focuses on the impact of manufactured and primary exports on productivity growth. In order to investigate if and how manufactured and primary exports affect economic growth via increases in productivity, several ...

Modelling the Structural Break in Volatility

Recent studies suggest that US and other developed economies have become considerably stabilized in terms of volatility since the mid-1980s (Stock and Watson, 2002). This study models the structural break in volatility using a dynamic factor model with two state variables: one capturing cyclical fluctuations and another reflecting volatility decline. The new model confirms a one-time volatility reduction ...

Growth and Inflation Forecasts for Germany: A Panel-Based Assessment of Accuracy and Efficiency

We analyse forecasts of professional forecasters for Germany regarding the time span from 1970 to 2004. This novel panel data set renders it possible to assess the accuracy and efficiency of growth and inflation forecasts more efficiently than in previous studies. We argue that the forecasts are, on average, unbiased and weakly - but not strongly - efficient. Using model confidence sets suggested by ...

When Do Forecasters Disagree? An Assessment of German Growth and Inflation Forecast Dispersion

Based on a panel of German professional forecasts for 1970-2004 we analyse the dispersion of growth and inflation forecasts. Forecast dispersion varies over time and is particularly high before and during recessions. There is no clear link between forecast dispersion and the subsequent forecast error. Forecast dispersion is positively correlated with the volatility of macroeconomic variables, but not ...