Business Cycle Transmission from the US to Germany: a Structural Factor Approach

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Discussion Paper Series 1 ; No. 2004,12

Classification and Topics

• Classification: Wirtschaft ; Open Economy Macroeconomics ; Estimation: General ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; International Economic Order and Integration
• Subject: International business cycles ; international transmission channels ; dynamic factor models ; structural VAR techniques ; Konjunkturzusammenhang ; VAR-Modell ; Schätzung ; Vereinigte Staaten ; Deutschland

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Eickmeier, Sandra
• Event: Veröffentlichung
• (who): Deutsche Bundesbank
• (where): Frankfurt a. M.
• (when): 2004

Further information

• Handle: http://hdl.handle.net/10419/19479
• Last update: 10.03.2025, 11:44 AM CET