The short and long-run interdependencies between the Eurozone and the USA

被引：0

作者：

Gaggl P. ^{[1
]}

Kaniovski S. ^{[2
]}

Prettner K. ^{[2
]}

Url T. ^{[2
]}

机构：

[1] Department of Economics, University of California, Davis, CA 95616, One Shields Avenue

[2] Austrian Institute of Economic Research, 1103 Vienna

来源：

Empirica | 2009年 / 36卷 / 2期

关键词：

Business cycle; Cointegration; Steady state; VAR;

D O I：

10.1007/s10663-008-9081-4

中图分类号：

学科分类号：

摘要：

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. © Springer Science+Business Media, LLC. 2008.

引用

页码：209 / 227

页数：18

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