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PATTERNS OF CO‐MOVEMENT BETWEEN SOUTH AFRICA AND GERMANY: EVIDENCE FROM THE PERIOD 1985 TO 2006
Authors:Alain Kabundi  Elsabé Loots
Institution:1. Economics Department, University of Johannesburg, Gauteng, South Africa;2. Economics Department, North‐West University, Potchefstroom Campus, Potchefstroom, North‐West, South Africa
Abstract:This paper examines the co‐movement between Germany and South Africa by applying a dynamic factor model. Because these two countries have a long history of predominant trade ties, they deemed to be suitable proxies to analyse the channels of transmission of positive supply and demand shocks in a developed economy and the effects of these on an emerging market economy. In contrast to general expectations, the paper concludes that a German supply shock has more of a demand‐shock effect on the South African economy, while a German demand shock is transmitted through price in South Africa. This implies that the policy response in South Africa should not necessarily be the same as in Germany.
Keywords:C3  E32  E5  F40  Dynamic factor models  international business cycles  co‐movement  sign restrictions
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