Analyse der Übertragung US-amerikanischer Schocks auf Deutschland auf Basis eines FAVAR / A FAVAR-based Analysis of the Transmission of US Shocks to Germany
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Sandra Eickmeier
Summary
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.
© 2010 by Lucius & Lucius, Stuttgart
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- Buchbesprechungen / Book Reviews
Articles in the same Issue
- Inhalt / Contents
- Abhandlungen / Original Papers
- Impact of Non-smoking Ordinances on Hospitality Revenues: The Case of Germany
- Who Gets the Money?
- Auswirkungen von Mehrfachmandaten deutscher Vorstands- und Aufsichtsratsvorsitzender auf den Unternehmenserfolg / The Impact of Multiple Board Memberships of CEOs and Chairmen of Supervisory Boards on Corporate Performance in Germany
- Analyse der Übertragung US-amerikanischer Schocks auf Deutschland auf Basis eines FAVAR / A FAVAR-based Analysis of the Transmission of US Shocks to Germany
- Logik des Marktes Marktordnung, Marktverhalten und Marktergebnisse / Logic of Markets Market Rules, Behaviour of Actors, and Market Outcome
- Z-Tests in Multinomial Probit Models under Simulated Maximum Likelihood Estimation: Some Small Sample Properties
- Buchbesprechungen / Book Reviews
