Transmission of Business Cycle Shocks between Unequal Neighbours: Germany and Austria

Gerhard Fenz () and Martin Schneider ()
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Gerhard Fenz: Oesterreichische Nationalbank, Economic Analysis Divison, http://www.oenb.at

Working Papers from Oesterreichische Nationalbank (Austrian Central Bank)

Abstract: This paper analyses the comovement of the German and Austrian economies and the transmission of German shocks to Austria. Static and dynamic correlation measures show a strong comovement and a change of the relative position in time of these two economies. The transmission of German shocks to Austria is analysed with a two-country VAR model. Using sign restrictions on impulse response functions, we identify German supply, demand and monetary policy shocks. We find that the average reaction of the Austrian economy to German shocks amounts to 44% of the German reaction and remains broadly stable over time.

Keywords: business cycle; synchronization; vector autoregression; shock transmission; Austria; Germany. (search for similar items in EconPapers)
JEL-codes: C32 E32 F41 (search for similar items in EconPapers)
Pages: 34
Date: 2007-05-14
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:onb:oenbwp:137

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