Bernd Lucke

Productivity Shocks in a Sectoral Real Business Cycle Model for West Germany

If aggregate output is driven by integrated productivity shocks, then sectoral output series should display few, if any, cointegrating relationships. Similarly, serial correlation cofeature should be a rare occurrence. These conjectures are confirmed in an analysis with West German data. However, productivity shocks, identified and tested for in an extended version of the Long and Plosser real business cycle model, do not contain enough unit roots to account for those found in the output series. Hence productivity shocks can at best provide a partial explanation for aggregate output fluctuations.

An Adelman-Test for Growth Cycles in West Germany

This paper contains a brief description of the methodological approach to economic fluctuations developed by Arthur F. Burns and Wesley C. Mitchell at the National Bureau of Economic Research. Applying this methodology to growth cycles of the West German economy gives rise to a large number of stylized facts which serve as the basis of Adelman tests. Growth cycle implications of two prototypical Real-Business-Cycle models are derived by simulations. Unlike most of the literature, a comparison between model and data statistics produces overwhelming evidence against the Real Business Cycle models.

On BLU-estimation with data of different periodicity

We study a classical regression model where observations on n endogenous variables are annual, while their sum as well as explanatory variables are given on a quarterly basis. The BLUE is shown to be a linear combination of common least-squares estimators, even when the dependent variables are correlated.

Non-Keynesian Effects of Fiscal Contractions: Theory and Applications for Germany

Non-keynesian effects of fiscal contractions have attracted the attention of economists throughout the 1980s. Most notably, cuts in government spending in Ireland, Denmark and Germany are known to have coincided with increases in private consumption spending. Self-fulfilling expectations about the effects of stabilization policies may explain these and a diversity of opposing experiences. This paper formulates a dynamic stochastic equilibrium model with equilibrium indeterminacy, which allows for sunspot fluctuations as well as for systematic consumption effects of government policy in either direction. Cointegration tests and Euler equation estimates suggest that the model is approximately in accord with German data. Parameter estimates imply that the non-keynesian experiences are not due to self-fulfilling expectations but to the productivity effects of government-provided infrastructure services.

Do small menu costs explain large business cycles

Abstract The menu cost approach to business cycle theory is amended for the costs of adjusting factor demand. This modification drastically reduces the size of the social externality commonly associated with small menu costs. The existence of menu or other (small) adjustment costs is hence not likely to have explanatory power for large scale economic fluctuations.

Testing for Unit Roots with Income Distribution Data

In this paper I test the unit root hypothesis for US log GNP using the information available in income distribution data. The percentile data of an income distribution are shown to follow the same autoregressive pattern as does mean income. Under the null hypothesis of a unit root log GNP is cointegrated with the percentile data. A sequence of augmented HEGY-Tests, however, presents strong evidence against the unit root hypothesis for the distribution data and hence for log GNP. Using a full information estimation procedure for the percentiles under the alternative yields an estimate of the autoregressive coefficient which is in principle testable by an approximate Dickey-Hasza-Fuller test. The appropriate critical values are found by bootstrap methods. Again, inference is clearly unfavorable for the unit root hypothesis.

Structural Change on the World Sugar Market

While the ISAs of 1968 and 1977 undisputably failed to meet their self-defined objectives165, this does not necessarily imply that they did not have any effect at all. A evaluation of what the ISAs accomplished and an analysis of the causes for their failure is hence desirable.

Quantitative Analysis of the World Sugar Market

The main objective of this chapter is the specification and estimation of the three relationships of immediate economic interest in the world sugar economy, namely the functions describing systematic excess production, stock demand, and price determination (cf. the introduction to Chapter 3). Sections 5.5 to 5.8 are devoted to this purpose. However, some preliminary investigations are indispensible. These include a) obtaining an estimate for the unobservable systematic component of sugar production and b) testing the key assumption of completely world market price inelastic systematic excess production. Sections 5.3 and 5.4 will deal with these issues.

On the Desirability of Price Stabilization

The introductory chapter has shown that price stabilization is often discussed with reference to primary commodity markets, i. e. to the markets of foods and minerals. It is commonplace in the literature to analyze both groups of primary commodities within one model. However, this represents an — in my eyes — unjustifiably high degree of aggregation. For note first that protected domestic markets do mainly prevail in the range of foodstuffs (and not so much among minerals). Further, agricultural production is typically subject to strong stochastic influences such as wheather conditions and pests, whereas this is not the case in, say, the mining of metals. On the other hand, demand for minerals is probably considerably more sensitive to macroeconomic shocks than is the demand for basic foodstuffs11. I will therefore deviate from the tradition of covering both types of primary commodities by one model and henceforth confine my attention solely to agricultural products12.

Price Dynamics in a Linear World

The exposition of the model has so far not yet surpassed the state of twoperiods—only analysis. Before turning to a multi—period analysis it may be appropriate to summarize the model of price determination that has been exposed in the previous chapter. Let for this purpose fi, i=1, 2, 3, denote functional relationships to be specified.