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Transmission of business cycle shocks between unequal neighbours: Germany and Austria

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Author Info

  • Gerhard Fenz

    () (Oesterreichische Nationalbank, Economic Analysis Division)

  • Martin Schneider

    () (Oesterreichische Nationalbank, Economic Analysis Division)

Abstract

This paper analyses the comovement of the German and Austrian economies and the transmission of German shocks to Austria. Static and dynamic correlation measures show a strong comovement and a change of the relative position in time of these two economies. The transmission of German shocks to Austria is analysed with a two-country VAR model. Using sign restrictions on impulse response functions, we identify German supply, demand and monetary policy shocks. We find that the average reaction of the Austrian economy to German shocks amounts to 44% of the German reaction and remains broadly stable over time. JEL classification: C32, E32, F41

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Bibliographic Info

Paper provided by Oesterreichische Nationalbank (Austrian Central Bank) in its series Working Papers with number 137.

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Length: 34 pages
Date of creation: 05 Feb 2008
Date of revision:
Handle: RePEc:onb:oenbwp:137

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Related research

Keywords: business cycle; synchronization; vector autoregression; shock transmission; Austria; Germany.;

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Cited by:
  1. Andreas Hoffmann, 2010. "An Overinvestment Cycle In Central And Eastern Europe?," Metroeconomica, Wiley Blackwell, vol. 61(4), pages 711-734, November.
  2. Klaus Prettner & Robert M. Kunst, 2009. "The Dynamic Interrelations between Unequal Neighbors: An Austro-German Case Study," Vienna Economics Papers 0913, University of Vienna, Department of Economics.

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