The international transmission channels of US supply and demand shocks: Evidence from a non-stationary dynamic factor model for the G7 countries

Hanisch, Max; Kempa, Bernd

doi:10.1016/j.najef.2017.07.001

Cited by 7 publications

(5 citation statements)

References 39 publications

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“…the U.S. has the leading role. This is in line with the findings of Hanisch and Kempa (2017), who documented that the U.S. economy has major and leading role when it comes to the shock spillover effect to other neighbouring and more distant world economies. During the period that covers World financial crisis (WFC) and the subsequent Sovereign debt crisis (SDC) in the U.S. (2007-2011), we find that high coherence areas begin at high frequencies (second quarter) and lasted continuously to relatively low frequency (fifth quarter).…”

Section: Wavelet Coherence Findingssupporting

confidence: 92%

“…They found that trade intensity affects synchronization, but they also reported that specialization and convergence in monetary and fiscal policies, have a similar impact on business cycle synchronization as trade intensity. Study of Hanisch and Kempa (2017) investigated the spillover effects and transmission channels of the U.S. supply and demand shocks on a variety of macroeconomic variables in individual non-U.S. G7 countries. They concluded that trade channel plays a significant role in the international transmission of the U.S. shocks.…”

Section: Brief Literature Review and Related Studiesmentioning

confidence: 99%

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How FTA and NAFTA treaties affect the business cycles synchronization between the U.S.: And Canada

Živkov¹,

Malešević²,

Malešević³

et al. 2018

Škola biznisa

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This paper strives to gauge whether the introduction of Free Trade Agreement (FTA) and North American Free Trade Agreement (NAFTA) positively influenced business cycle synchronization between the U.S. and Canada. For computational purposes, we choose wavelet coherence and phase difference methodologies. Our results indicate that synchronization between cycles was realized much faster after the introduction of these treaties in '80s and '90s of the 20 th century. Also, results show that synchronization is achieved faster in crisis (after two quarters), while in tranquil periods it takes little bit longer (three quarters). Phase difference suggests that the U.S.'s business cycle is one that leading.

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Section: Wavelet Coherence Findingssupporting

confidence: 92%

Section: Brief Literature Review and Related Studiesmentioning

confidence: 99%

How FTA and NAFTA treaties affect the business cycles synchronization between the U.S.: And Canada

Živkov¹,

Malešević²,

Malešević³

et al. 2018

Škola biznisa

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“…2 A multi-country structural dynamic factor model 2.1 The model Introduced by Giannone et al (2005), Stock and Watson (2005) and Forni et al (2009), dynamic factor models have become a frequently employed approach to analyze the response of large data sets to macroeconomic shocks. While Forni and Gambetti (2010), Luciani (2015) and Hanisch (2017) investigate the effects of domestic monetary policy, Eickmeier (2007), Barigozzi et al (2014) and Hanisch and Kempa (2017) set up multicountry models in order to analyze international spillover effects of such shocks.…”

Section: Introductionmentioning

confidence: 99%

US monetary policy and the euro area

Hanisch

2019

Journal of Banking & Finance

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This study documents empirically that contractionary US monetary policy may generate short-term expansionary spillover effects. In individual Euro Area (EA) member countries, economic activity increases, mainly via the trade channel. Also, domestic credit and stock markets expand, highlighting the importance of the financial channel. However, the international repercussions are transitory and distributed unevenly within the EA. The effect diminishes as EA interest rates increase with a few quarters delay. While the effects are heterogenous and rather large before 1999, responses become more homogeneous and smaller in size after the implementation of the euro. Still, country-specific asymmetries remain.

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“…While Forni and Gambetti (2010), Luciani (2015) and Hanisch (2017) investigate the effects of domestic monetary policy, Eickmeier (2007), Barigozzi et al (2014) and Hanisch and Kempa (2017) set up multicountry models in order to analyze international spillover effects of such shocks.…”

Section: The Modelmentioning

confidence: 99%

US Monetary Policy and the Euro Area

Hanisch

2017

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractThis study investigates the international spillover effects of contractionary US monetary policy and its transmission channels on members of the euro area (EA) before and after the implementation of the euro. I find the multilateral spillover effects on individual EA economies' real activity and inflation to be asymmetric, i.e. the responses are mainly expansionary but not exclusively so. While the effects are diverse and rather large before 1999, responses become more homogeneous and smaller in size after the implementation of the euro. However, country-specific asymmetries remain. Trade and interest rates but also credit, stock and housing markets are identified as important transmission channels.JEL Classification: C32, E52, E58

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The international transmission channels of US supply and demand shocks: Evidence from a non-stationary dynamic factor model for the G7 countries

Cited by 7 publications

References 39 publications

How FTA and NAFTA treaties affect the business cycles synchronization between the U.S.: And Canada

How FTA and NAFTA treaties affect the business cycles synchronization between the U.S.: And Canada

US monetary policy and the euro area

US Monetary Policy and the Euro Area

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