 Business Cycle Transmission from the US to Germany: a Structural Factor ApproachNo 2004,12, Discussion Paper Series 1: Economic Studies from Deutsche Bundesbank Abstract: 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. Keywords: International business cycles; international transmission channels; dynamic factor models; structural VAR techniques (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdp1:2021 Access Statistics for this paper More papers in Discussion Paper Series 1: Economic Studies from Deutsche Bundesbank Contact information at EDIRC. |
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