The short and long-run interdependencies between the Eurozone and the USA |
| |
| Authors: | Paul Gaggl Serguei Kaniovski Klaus Prettner Thomas Url |
| |
| Affiliation: | (1) Department of Economics, University of California, One Shields Avenue, Davis, CA 95616, USA;(2) Austrian Institute of Economic Research, P.O. Box 90, 1103 Vienna, Austria |
| |
| Abstract: | ![]()
We estimate quarterly cointegrating vector autoregressive models for the Eurozone and the USA based on long-run restrictions derived from a dynamic open economy model. Three long-run relations between the Eurozone and the USA emerge: relative purchasing power parity, international interest parity and a stationary output gap between the two economies. Generalized impulse response functions show differences in the dynamic adjustment of the two economies. Due to the I(1)-characteristic of both output series and the stability conditions imposed by the long-run equilibrium relationships, shocks to the model produce level effects only, while growth rates converge to their long-run averages. |
| |
| Keywords: | Cointegration VAR Steady state Business cycle |
| 本文献已被 SpringerLink 等数据库收录！ |
|
