EconStor >
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin >
DIW-Diskussionspapiere >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/29756
  
Title:The importance of global shocks for national policymakers: rising challenges for central banks PDF Logo
Authors:Belke, Ansgar
Rees, Andreas
Issue Date:2009
Series/Report no.:Discussion papers // German Institute for Economic Research 922
Abstract:We analyze the importance of global shocks for the global economy and national policy makers. More specifically, we investigate whether monetary policy has become less effective in the wake of financial globalization. We also examine whether there is increasing uncertainty for central banks due to globalization-driven changes in the national economic structure. A FAVAR framework is applied to derive structural shocks on a worldwide level and their impact on other global and also national variables. We estimate our macro model using quarterly data from Q1 1984 to Q4 2007 for the G7 countries plus the euro area. According to our results, global liquidity shocks are a driving force of the global economy and various national economies. However, some other shocks originating in house prices, GDP, technology and long-term interest rates play a role at the global level as well. These results prove to be robust across different specifications. Structural break tests indicate that global liquidity shocks have recently become more important as a determinant for house prices. In general, global variables have become more powerful over time in driving national variables.
Subjects:Global shocks
international business cycle
international policy coordination and transmission
factor augmented vector autoregressive (FAVAR) models
common factors
JEL:C22
E31
E32
F42
Document Type:Working Paper
Appears in Collections:DIW-Diskussionspapiere
Publikationen von Forscherinnen und Forschern des DIW

Files in This Item:
File Description SizeFormat
609487523.pdf622.08 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/29756

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.