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Business Cycle Transmission from the US to Germany : a Structural Factor Approach

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Author Info
Eickmeier, Sandra

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Abstract

This paper investigates the transmission of US macroeconomic shocks to Germany by employing a large-dimensional structural dynamic factor model. This framework allows us to investigate many transmission channels simultaneously, including 'new' channels like stock markets, foreign direct investment, bank lending and the confidence channel. We find that US shocks affect the US and Germany largely symmetrically. Trade and monetary policy reactions to strong price effects seem to be most relevant; financial markets may have become more important over time. The speed of transmission does not seem to have increased. Negative domestic influences apparently more than compensated positive US influences in the German economy between 1995 and 2000, but the US recession in 2001 seemed mainly responsible for the German slump.

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Paper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 1: Economic Studies with number 2004,12.

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Date of creation: 2004
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Handle: RePEc:zbw:bubdp1:2021

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Related research
Keywords: International business cycles; international transmission channels; dynamic factor models; structural VAR techniques;

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Find related papers by JEL classification:
F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
F02 - International Economics - - General - - - International Economic Order; Noneconomic International Organizations;; Economic Integration and Globalization: General

References listed on IDEAS
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Buch, Claudia M. & Lipponer, Alexander, 2005. "Business cycles and FDI : evidence from German sectoral data," Discussion Paper Series 1: Economic Studies 2005,09, Deutsche Bundesbank, Research Centre. [Downloadable!]
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  2. Jan Babecky & Oxana Babetskaia-Kukharchuk & Kamil Galuscak & Dana Hajkova & Jaroslav Hermanek & Tomas Holub & Roman Horvath & Petr Jakubik & Lubos Komarek & Zlatuse Komarkova & Petr Kral & Filip Novot, 2008. "Analyses of the Czech Republic's Current Economic Alignment with the Euro Area 2008," Occasional Publications - Edited Volumes, Czech National Bank, Research Department, number as08 edited by Dana Hajkova. [Downloadable!]
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  3. Eickmeier, Sandra, 2006. "Comovements and heterogeneity in the Comovements and heterogeneity in the dynamic factor model," Discussion Paper Series 1: Economic Studies 2006,31, Deutsche Bundesbank, Research Centre. [Downloadable!]
  4. Geert Bekaert & Marie Hoerova & Martin Scheicher, 2009. "What Do Asset Prices Have to Say About Risk Appetite and Uncertainty?," Working Paper Series 1037, European Central Bank. [Downloadable!]
  5. Eickmeier, Sandra, 2005. "Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model," Discussion Paper Series 1: Economic Studies 2005,02, Deutsche Bundesbank, Research Centre. [Downloadable!]
  6. Schumacher, Christian, 2009. "Factor forecasting using international targeted predictors: the case of German GDP," Discussion Paper Series 1: Economic Studies 2009,10, Deutsche Bundesbank, Research Centre. [Downloadable!]
  7. Alain N. Kabundi & Francisco Nadal-De Simone, 2007. "France in the Global Economy: A Structural Approximate Dynamic Factor Model Analysis," IMF Working Papers 07/129, International Monetary Fund. [Downloadable!]
  8. Eickmeier, Sandra & Moll, Katharina, 2008. "The global dimension of inflation: evidence from factor-augmented Phillips curves," Discussion Paper Series 1: Economic Studies 2008,16, Deutsche Bundesbank, Research Centre. [Downloadable!]
  9. Sandra Eickmeier & Katharina Moll, 2009. "The global dimension of inflation - evidence from factor-augmented Phillips curves," Working Paper Series 1011, European Central Bank. [Downloadable!]
  10. Jörg Breitung & Sandra Eickmeier, 2006. "Dynamic factor models," AStA Advances in Statistical Analysis, Springer, vol. 90(1), pages 27-42, March. [Downloadable!] (restricted)
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  11. Eickmeier, Sandra & Breitung, Jörg, 2005. "How synchronized are central and east European economies with the euro area? : Evidence from a structural factor model," Discussion Paper Series 1: Economic Studies 2005,20, Deutsche Bundesbank, Research Centre. [Downloadable!]
  12. Sandra Eickmeier & Joerg Breitung, 2006. "Business cycle transmission from the euro area to CEECs," Computing in Economics and Finance 2006 229, Society for Computational Economics. [Downloadable!]
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