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Analyse der Uebertragung US-amerikanischer Schocks auf Deutschland auf Basis eines FAVAR

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  • Sandra Eickmeier

    ()
    (Deutsche Bundesbank, Frankfurt am Main)

Abstract

The paper assesses the transmission of US supply, demand and monetary policy shocks between 1976 and 2008 based on a factor-augmented vector autoregressive model (FAVAR) which is applied to a newly constructed set of more than 200 German time series. The study not only assesses the transmission of US shocks to German GDP via impulse response analysis but also to a large number of variables capturing the various transmission channels. The inclusion not only of aggregate trade variables but also of variables covering trade with different partner countries/regions helps analyzing more deeply the trade channel, e. g. the role of direct trade versus trade with third countries. Another focus lies on the transmission of US shocks to specific industries such as the car and the machinery industries which were particularly severely affected by the global financial crisis. Finally, the role of US shocks for the most recent downturn in Germany is assessed based on a historical decomposition.

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Bibliographic Info

Article provided by Justus-Liebig University Giessen, Department of Statistics and Economics in its journal Journal of Economics and Statistics.

Volume (Year): 230 (2010)
Issue (Month): 5 (October)
Pages: 571-600

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Handle: RePEc:jns:jbstat:v:230:y:2010:i:5:p:571-600

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Keywords: International business cycles; factor models; trade; financial market integration;

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