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Analyse der Übertragung US-amerikanischer Schocks auf Deutschland auf Basis eines FAVAR

Author

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  • Eickmeier, Sandra
Abstract
Die vorliegende Arbeit untersucht, wie sich Angebots-, Nachfrage- und geldpolitische Schocks aus den Vereinigten Staaten auf Deutschland übertragen. Dabei wird ein so genanntes factor-augmented vector autoregressive model (FAVAR) auf einen neu zusammengestellten Datensatz mit mehr als 200 deutschen Variablen zwischen 1976 und 2008 angewandt. Die Studie untersucht nicht nur die Übertragung US-amerikanischer Schocks auf das deutsche Bruttoinlandsprodukt mit Hilfe einer Impuls-Antwort-Analyse sondern auf eine Vielzahl weiterer Variablen, die die verschiedenen Transmissionskanäle abbilden. Die Arbeit berücksichtigt insbesondere disaggregierte Handelsvariablen, welche den Handel Deutschlands mit unterschiedlichen Ländern beziehungsweise Regionen abbilden. Dies erlaubt eine detaillierte Analyse des Handelskanals. Ein weiterer Schwerpunkt der Arbeit liegt auf der Übertragung US-amerikanischer Schocks auf bestimmte Branchen, darunter der Maschinenbau und die Automobilindustrie, die von der globalen Finanzkrise besonders stark negativ betroffen waren. Mittels einer historischen Zerlegung wird schließlich der Beitrag US-amerikanischer Schocks zum jüngsten Abschwung in Deutschland abgeschätzt.

Suggested Citation

  • Eickmeier, Sandra, 2009. "Analyse der Übertragung US-amerikanischer Schocks auf Deutschland auf Basis eines FAVAR," Discussion Paper Series 1: Economic Studies 2009,35, Deutsche Bundesbank.
    • Handle: RePEc:zbw:bubdp1:200935
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    More about this item

    Keywords

    International business cycles; factor models; trade; financial market integration;
    All these keywords.

    JEL classification:

    • F1 - International Economics - - Trade
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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