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Financial openness and business cycle volatility

Buch, Claudia M.; Döpke, Jörg; Pierdzioch, Christian - 2002

This paper discusses whether the integration of international financial markets affects business cycle fluctuations. In the framework of a new open economy macro-model, we show that the link between financial openness and business cycle volatility depends on the nature of the underlying shock....

Persistent link: https://www.econbiz.de/10011475038

Business cycle volatility in Germany

Buch, Claudia M.; Döpke, Jörg; Pierdzioch, Christian - 2002

Stylized facts suggest that output volatility in OECD countries has declined in recent years. However, the causes and the nature of this decline have so far been analyzed mainly for the United States. In this paper, we analyze whether structural breaks in the dynamics and the volatility of the...

Persistent link: https://www.econbiz.de/10011475861

Consumer preferences and the reliability of Euler equation tests of capital mobility : some simulation-based evidence

Buch, Claudia M.; Döpke, Jörg; Pierdzioch, Christian - 2002

The globalization of international financial markets has renewed interest in the measurement of capital mobility. Consumption-based tests such as the Euler equation test are commonly used. These tests, however, are derived under restrictive assumptions on consumer behavior. In this paper, we ask...

Persistent link: https://www.econbiz.de/10011475881

Stock market dispersion, sectoral shocks, and the German business cycle

Döpke, Jörg; Pierdzioch, Christian - 2000

This paper elaborates on the relative importance of sectoral shocks for real economic activity in Germany. Implications of multisectoral real business cycle models are examined by resorting to testing techniques based on stock market returns. The empirical evidence is obtained by calculating...

Persistent link: https://www.econbiz.de/10011476130

Inflation and the skewness of the distribution of relative price changes : empirical evidence for Germany

Döpke, Jörg; Pierdzioch, Christian - 2001

The present paper uses German annual data covering the period 1969-2000 to present evidence on the link between aggregate inflation and the higher-order moments of the distribution of relative price changes. Our empirical findings confirm predictions of contributions to the theoretical...

Persistent link: https://www.econbiz.de/10011476471

Macroeconomic forecasts and the nature of economic shocks in Germany

Döpke, Jörg - 2000

The paper investigates the sources of macroeconomic forecast errors in Germany. The predictions of the so-called "six leading" research institutes are analyzed. The forecast errors are discussed within an aggregate demand/supply scheme. Structural Vector Autoregressive Models are estimated to...

Persistent link: https://www.econbiz.de/10011476550

The economic value of business cycle forecasts for potential investors : evidence from Germany

Döpke, Jörg; Müller, Karsten; Tegtmeier, Lars - In: Research in international business and finance 46 (2018), pp. 445-461

Persistent link: https://www.econbiz.de/10011983697

Measures of the output gap in the Euro-zone : an empirical assessment of selected methods

Chagny, Odile; Döpke, Jörg - In: Vierteljahrshefte zur Wirtschaftsforschung 70 (2001) 4, pp. 310-330

The paper discusses some widely used methods for estimating output gaps based on aggregated datafor the Euro … methods commonly used have only limited information content for inflation forecasting in the Euro-zone. Conclusions for … die Euro-Zone. Obwohl die Methoden einige wichtige gemeinsame Eigenschaften aufweisen, zeigen auch sie erhebliche …

Persistent link: https://www.econbiz.de/10010493796

The dynamics of European inflation expectations

Döpke, Jörg; Dovern, Jonas; Fritsche, Ulrich; … - 2006

series. Our baseline stationary estimation suggests that the average frequency of information updating for the European …

Persistent link: https://www.econbiz.de/10010426367

Sticky information Phillips curves : European evidence

Döpke, Jörg; Dovern, Jonas; Fritsche, Ulrich; … - 2006

We estimate the sticky information Phillips curve model ofMankiw and Reis (2002) using survey expectations of professional forecasters from four major European economies. Our estimates imply that inflation expectations in France, Germany and the United Kingdom are updated about once a year, in...

Persistent link: https://www.econbiz.de/10010426368