IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

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

  • Sandra Eickmeier

    ()

    (Deutsche Bundesbank, Frankfurt am Main)

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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.wiso-net.de/webcgi?START=A60&DOKV_DB=ZECO&DOKV_NO=JFNS3B606CFBA93B65ED964E70BD64B6D9CF&DOKV_HS=0&PP=1
File Function: Main text
Download Restriction: Access via GENIOS - German Business Information - http://www.genios.de/r_startseite/index.ein

File URL: http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1152146&site=ehost-live
File Function: Main text
Download Restriction: Access via EBSCOhost Econlit - http://www.ebscohost.com/

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

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

as
in new window

Handle: RePEc:jns:jbstat:v:230:y:2010:i:5:p:571-600
Contact details of provider: Postal: Licher Straße 74, 35394 Gießen
Phone: +49 (0)641 99 22 001
Fax: +49 (0)641 99 22 009
Web page: http://wiwi.uni-giessen.de/home/oekonometrie/Jahrbuecher/

More information through EDIRC

References listed on IDEAS
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.:

as in new window
  1. Jon Faust, 1998. "The robustness of identified VAR conclusions about money," International Finance Discussion Papers 610, Board of Governors of the Federal Reserve System (U.S.).
  2. James H. Stock & Mark W. Watson, 1998. "Diffusion Indexes," NBER Working Papers 6702, National Bureau of Economic Research, Inc.
  3. Dees, S. & di Mauro, F. & Pesaran, M.H. & Smith, L.V., 2005. "Exploring the International Linkages of the Euro Area: a Global VAR Analysis," Cambridge Working Papers in Economics 0518, Faculty of Economics, University of Cambridge.
  4. Eickmeier, Sandra, 2004. "Business Cycle Transmission from the US to Germany: a Structural Factor Approach," Discussion Paper Series 1: Economic Studies 2004,12, Deutsche Bundesbank, Research Centre.
  5. Chamberlain, Gary & Rothschild, Michael, 1982. "Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets," Scholarly Articles 3230355, Harvard University Department of Economics.
  6. Claudio Borio, 2008. "The financial turmoil of 2007-?: a preliminary assessment and some policy considerations," BIS Working Papers 251, Bank for International Settlements.
  7. Markus K. Brunnermeier, 2009. "Deciphering the Liquidity and Credit Crunch 2007-2008," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 77-100, Winter.
  8. Jörg Breitung & Sandra Eickmeier, 2006. "Dynamic factor models," AStA Advances in Statistical Analysis, Springer, vol. 90(1), pages 27-42, March.
  9. G. Peersman, 2004. "What caused the early millennium slowdown? Evidence based on vector autoregressions," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 04/235, Ghent University, Faculty of Economics and Business Administration.
  10. Luca Sala, 2002. "Monetary Transmission in the Euro Area: A Factor Model Approach," Macroeconomics 0205005, EconWPA, revised 15 May 2002.
  11. Dées, Stéphane & Vansteenkiste, Isabel, 2007. "The transmission of US cyclical developments to the rest of the world," Working Paper Series 0798, European Central Bank.
  12. Fabio Canova & Matteo Ciccarelli, 2007. "Estimating Multi-country VAR models," Discussion Papers 7_2007, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
  13. Matteo Iacoviello & Stefano Neri, 2008. "Housing market spillovers : evidence from an estimated DSGE model," Working Paper Research 145, National Bank of Belgium.
  14. Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Boston College Working Papers in Economics 440, Boston College Department of Economics.
  15. Renee Fry & Adrian Pagan, 2007. "Some Issues in Using Sign Restrictions for Identifying Structural VARs," NCER Working Paper Series 14, National Centre for Econometric Research.
  16. Thomas Dalsgaard & Christophe André & Pete Richardson, 2001. "Standard Shocks in the OECD Interlink Model," OECD Economics Department Working Papers 306, OECD Publishing.
  17. Buiter, Willem H., 2007. "Lessons from the 2007 Financial Crisis," CEPR Discussion Papers 6596, C.E.P.R. Discussion Papers.
  18. Marc Giannoni & Jean Boivin, 2008. "Global Forces and Monetary Policy Effectiveness," 2008 Meeting Papers 1067, Society for Economic Dynamics.
  19. Eickmeier, Sandra & Breitung, Jorg, 2006. "How synchronized are new EU member states with the euro area? Evidence from a structural factor model," Journal of Comparative Economics, Elsevier, vol. 34(3), pages 538-563, September.
  20. Michael ARTIS & Ana Beatriz C. GALVÃO & Massimiliano MARCELLINO, 2003. "The transmission mechanism in a changing world," Economics Working Papers ECO2003/18, European University Institute.
  21. James H. Stock & Mark W. Watson, 2005. "Implications of Dynamic Factor Models for VAR Analysis," NBER Working Papers 11467, National Bureau of Economic Research, Inc.
  22. Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2004. "Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach," Finance and Economics Discussion Series 2004-03, Board of Governors of the Federal Reserve System (U.S.).
  23. Stephane Dees & Arthur Saint-Guilhem, 2011. "The role of the United States in the global economy and its evolution over time," Empirical Economics, Springer, vol. 41(3), pages 573-591, December.
  24. Hansen, Bruce E., 1992. "Testing for parameter instability in linear models," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 517-533, August.
  25. Pedro Perez & Denise Osborn & Michael Artis, 2006. "The International Business Cycle in a Changing World: Volatility and the Propagation of Shocks in the G-7," Open Economies Review, Springer, vol. 17(3), pages 255-279, July.
  26. Sandra Eickmeier, 2009. "Comovements and heterogeneity in the euro area analyzed in a non-stationary dynamic factor model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 933-959.
  27. Uhlig, Harald, 2005. "What are the effects of monetary policy on output? Results from an agnostic identification procedure," Journal of Monetary Economics, Elsevier, vol. 52(2), pages 381-419, March.
  28. Lutz Kilian, 1998. "Small-Sample Confidence Intervals For Impulse Response Functions," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 218-230, May.
  29. Hamburg, Britta & Hoffmann, Mathias & Keller, Joachim, 2005. "Consumption, wealth and business cycles: why is Germany different?," Discussion Paper Series 1: Economic Studies 2005,16, Deutsche Bundesbank, Research Centre.
  30. Haroon Mumtaz & Paolo Surico, 2009. "The Transmission of International Shocks: A Factor-Augmented VAR Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(s1), pages 71-100, 02.
  31. Peersman, Gert & Smets, Frank, 2001. "The monetary transmission mechanism in the euro area: more evidence from VAR analysis," Working Paper Series 0091, European Central Bank.
  32. Fabio Canova & Gianni de Nicoló, 1999. "On the sources of business cycles in the G-7," Economics Working Papers 459, Department of Economics and Business, Universitat Pompeu Fabra, revised Mar 2000.
  33. Fabio Canova & Matteo Ciccarelli & Eva Ortega, 2009. "Do institutional changes affect business cycles? Evidence from Europe," Economics Working Papers 1158, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 2012.
  34. Andrea Nobili & Stefano Neri, 2006. "The transmission of monetary policy shocks from the US to the euro area," Temi di discussione (Economic working papers) 606, Bank of Italy, Economic Research and International Relations Area.
  35. International Monetary Fund, 2001. "Monetary and Exchange Rate Policies of the Euro Area," IMF Staff Country Reports 01/60, International Monetary Fund.
  36. Markus K. Brunnermeier, 2008. "Deciphering the Liquidity and Credit Crunch 2007-08," NBER Working Papers 14612, National Bureau of Economic Research, Inc.
  37. Gerlach, Stefan & Smets, Frank, 1995. "The Monetary Transmission Mechanism: Evidence from the G-7 Countries," CEPR Discussion Papers 1219, C.E.P.R. Discussion Papers.
  38. Ball, L. & Mankiw, N.G., 1992. "Asymmetric Price Adjustment and Economic Fluctuations," Harvard Institute of Economic Research Working Papers 1602, Harvard - Institute of Economic Research.
  39. Jarociński, Marek & Smets, Frank, 2008. "House Prices and the stance of Monetary Policy," Working Paper Series 0891, European Central Bank.
  40. John B. Taylor, 2009. "The Financial Crisis and the Policy Responses: An Empirical Analysis of What Went Wrong," NBER Working Papers 14631, National Bureau of Economic Research, Inc.
  41. Liu, Philip & Mumtaz, Haroon & Theophilopoulou, Angeliki, 2011. "International transmission of shocks: a time-varying factor-augmented VAR approach to the open economy," Bank of England working papers 425, Bank of England.
  42. Canova, Fabio & Marrinan, Jane, 1998. "Sources and propagation of international output cycles: Common shocks or transmission?," Journal of International Economics, Elsevier, vol. 46(1), pages 133-166, October.
  43. Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 147-62, April.
  44. Faust, Jon, 1998. "The robustness of identified VAR conclusions about money," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 207-244, December.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:jns:jbstat:v:230:y:2010:i:5:p:571-600. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Peter Winker)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.