Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/229044 
Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
ECB Working Paper No. 2430
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
We identify the spill-over of demand shocks between the world's two largest advanced economies; the US and the euro area. We estimate a Bayesian VAR with sign restrictions, using standard restrictions for the domestic impact of the shock but a novel approach to identify the geographic location of the shocks and rule out common shocks. For the latter, we use the relative performance of small open economies that are neighbors of the US and the euro area, respectively Canada and Sweden, in addition to restricting the relative effects on the US, the euro area and the rest of the world. We find that demand spill-overs of US and euro area demand shocks become smaller on average when imposing relative restrictions, while they become larger in periods which are well-known to be specific to the US (global financial crisis) or the euro area (euro area sovereign debt crisis). Our results are confirmed by running a "placebo test" where we replace the euro area with a small euro area economy, which should not have an independent effect on the US economy due to its small size.
Schlagwörter: 
International spillovers
open economy
Bayesian VAR
sign restrictions
JEL: 
C5
F41
F44
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-4073-3
Dokumentart: 
Working Paper

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