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The symmetry of demand and supply shocks in the European Monetary Union

Author

Listed:
  • Henryk Bąk

    (Warsaw School of Economics, Collegium of World Economy)

  • Sebastian Maciejewski

    (PGE Polska Grupa Energetyczna, Risk Department)

Abstract

In this paper we apply the Blanchard and Quah (1988) SVAR methodology in order to estimate the size and frequency of demand and supply shocks for the EMU member countries in 1996−2014. Obtained SVAR estimates suggest that Eurozone’s largest economies – Germany, France and Italy – show the greatest similarity with the Eurozone under the criterion of shock correlation and amplitude. In turn, the majority of CEE countries, which are Eurozone’s latest joiners, exhibit relatively low correlations of demand and supply shocks with the euro area. The impact of the global financial crisis on the euro area’s economies is pronounced for all 16 analysed countries between 2008 Q4 and 2009 Q2. The comparison of shock correlations prior to and after the outbreak of the global financial crisis illustrates considerable changes in correlations of demand and supply shocks of individual countries with the euro area, where changes in the correlation of demand shocks are greater in magnitude, and positive changes in the correlation of demand shocks and negative changes in the correlation of supply shocks predominate.

Suggested Citation

  • Henryk Bąk & Sebastian Maciejewski, 2017. "The symmetry of demand and supply shocks in the European Monetary Union," Bank i Kredyt, Narodowy Bank Polski, vol. 48(1), pages 1-44.
    • Handle: RePEc:nbp:nbpbik:v:48:y:2017:i:1:p:1-44
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    References listed on IDEAS

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    Cited by:

    1. Kéa Baret & Amélie Barbier-Gauchard & Théophilos Papadimitriou, 2021. "Forecasting the Stability and Growth Pact compliance using Machine Learning," Working Papers of BETA 2021-01, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    2. Gajewski Pawe³, 2018. "Demand and Supply Shock Symmetry across Polish Voievodships," Lodz Economics Working Papers 5/2018, University of Lodz, Faculty of Economics and Sociology.

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    More about this item

    Keywords

    time series models; asymmetric shocks; the euro area;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles

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