The Dynamics of Business Cycles: Stylized Facts, Economic by Michael Reiter

By Michael Reiter

This learn is a revised model of my doctoral dissertation on the Economics division of the collage of Munich. i need to take the chance to specific my gratitude to a couple those that have helped me in my paintings. My maximum thank you visit the manager of this dissertation, Professor Claude Billinger. Bis rules have shaped the foundation of my paintings. Be completely sup­ ported it with a number of principles, feedback and encouragement. additionally, he supplied a stimulating learn atmosphere at SEMECON. This learn shouldn't have been attainable during this shape with no the aid of my current and previous colleagues at SEMECON. i'm indebted to Rudolf Kohne-Volland, Monika Sebold-Bender and Ulrich Woitek for delivering gentle­ ware and counsel for the knowledge research. Discussions with them and with Thilo Weser have helped me to take many hurdles, quite within the early phases of the venture. My honest thank you visit all of them. I had the chance to offer a former model of my progress version at a workshop of Professor Klaus Zimmermann. i would like to thank all of the parti­ cipants for his or her necessary reviews. I additionally recognize severe and optimistic reviews from an nameless referee. desk of Contents advent . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 half I. method 1. value of Stylized evidence. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . nine 1.1 barriers of statistical checking out. . . . . . . . . . . . . . . . . . . . . . . . . . nine 1.2 comparing fiscal versions. . . . . . . . . . . . . . . . . . .. . . . eleven . . . . . . 2. extra Methodological matters . . . . . . . . . . . . . . . . . .. . . . thirteen . . . . . .

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60 5. 4 Errors in measurement It is well known that many aggregate economic variables contain measurement errors of a considerable size. It seems promising to account for this in the econometric specification of a model. Contrary to static models, where the presence of measurement errors raises identification problems, measurement errors can be identified in a dynamic context because they have a different impact on the system than errors in the equation. An error in an equation changes the current value of a variable, and also future values by the dynamics of the model.

4) For an empirical application of the model, the desired level of capital must be expressed in terms of observable quantities, typically current sales and some measure of the cost of capital. Cost of capital was neglected here, for simplicity and because it is difficult to measure. Relating desired capital to current sales is unsatisfactory, because equipment is intended to serve as a means of production for many years; therefore, the desired level of equipment should not be dominated by short-run fluctuations, but rather by long-run expectations.

The standard error of the regression parameter is high for the detrended series. Nevertheless, there is no evidence at all that the propensity to consume out of transitory income (in the following called marginal propensity) is smaller than average propensity. So we can state a further stylized fact: SF8: Marginal propensity to consume is apprbximately equal to average propensity. 38 4. 6. Regression of consumption on disposable income (no intercept) Par. Err. 365 The next step is to investigate the cyclical properties of income and of the components of private consumption.

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