Business Cycle Transmission from the US to Germany: A Structural Factor Approach
By Sandra Eickmeier. Social Science Research Network, 2007
158 citations recorded by the source corpus.
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.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/eadf2f1b35aa26e43a978fad3cab9281dd905fe2
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Jushan Bai
- M. Forni
- Marco Lippi
- Marc Hallin
- Paolo Zaffaroni
- Mark W. Watson
- James H. Stock
- L. Reichlin
In Finance
- Marco Lippi
- Marc Hallin
- Breitung Jörg
- E. Sandra
- J. Tenhofen
- M. Forni
- J. Breitung
- Narayana Kocherlakota
Citations in the corpus
- Asset Pricing Implications of Pareto Optimality with Private Information (2009, background): “In recent work, Cogley (2002), Brav, Constantinides, and Geczy (BCG) (2002), and Vissing-Jorgensen (2002) use data from the CEX to test the hypothesis that asset prices and household consumption are consistent with an incomplete markets equilibrium.”
- Analyzing International Business and Financial Cycles using Multi-Level Factor Models: A Comparison of Alternative Approaches (2016, methodology): “For structural macro applications see, e.g., Bernanke, Boivin and Eliasz (2005), Eickmeier (2007), Eickmeier and Hofmann (2013), Beck, Hubrich and Marcellino (2009), Kose, Otrok and Whiteman (2003).”
- Dynamic factor models with infinite-dimensional factor spaces: One-sided representations (2015, background): “1) can be estimated using the (estimated) spectral density of the x’s, see Forni et al. (2000). Asmentioned in the Introduction, Hallin and Liška (2007) andOnatski (2009) provide criteria to determine q, while Forni et al. (2000) construct a two-sided estimator for χt . All these papers use spectral”
- GLS Estimation of Dynamic Factor Models (2011, background): “, Watson 2003; Eickmeier and Ziegler 2008) and structural analysis (e.g., Giannone, Reichlin, and Sala 2002; Bernanke, Boivin, and Eliasz 2005; Eickmeier 2007).”