European Economy. Economic Papers. Germany's growth performance in the 1990's

Figure 1.4: Weighted HICP differences Germany-France explained by energy
1.1.4 An econometric analysis of the short-term response of growth to exports
In order to deepen the analysis of the 1990s business cycles, some interesting information on
the short term interaction between exports and GDP can be gleaned from an analysis of
quarterly data. In particular, this sub-section assesses whether the sensitivity of Germany to
changing export performances differs systematically from that of the other two big Euro-area
economies, France and Italy. To allow a meaningful statistical analysis, the German data set
was extended backwards by using West German data for the pre-unification period.
Furthermore, quarterly growth figures were smoothened by using a weighted moving
average
2
.
2
Data used are seasonally adjusted quarterly real figures from 1978 Q1 until 2001 Q2 (Q1 for France; 2000
Q4 for Italy). To achieve stationarity of data the econometric analysis looks only at first differences, i.e.
quarterly growth figures. These figures are, however, relatively volatile. Therefore a smoothing function has
been used applying the formula: X(smooth)
t
= 0.25 * X
t-1
+ 0.5 X
t
+ 0.25 X
t+1
. A sensitivity run does not
show any qualitative differences between smoothened and original data. However, graphs based on estimates
with the original data result in curves with a number of abrupt kinks that make a smoothening more realistic
looking. It also has the intuitive advantage that temporary blips have less influence than more permanent
shocks. West German data series were adjusted so as to fit smoothly with data of unified Germany. The point
in time at which the chaining takes place yields no noticeable differences.
-0.4
-0.2
0.0
0.2
0.4
0.6
0.8
1.0
1.2
1.4
1-1999
7-1999
1-2000
7-2000
1-2001
7-2001