European asymmetries

• 成果类型: Article
• 署名作者: Ballabriga, F; Sebastián, M; Vallés, J
• 署名单位: Banco de Espana; Universitat Ramon Llull; Escuela Superior de Administracion y Direccion de Empresas (ESADE); Complutense University of Madrid
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(98)00049-X
• 发表日期: 1999
• 页码: 233-253
• 关键词: zBVAR; interdependence; shocks; Exchange rate; asymmetries

摘要

The degree of symmetry of the shocks that cause macroeconomic fluctuations in the different European economies is a basic consideration when evaluating the cost in terms of loss of the nominal exchange rate as an instrument for short-term macroeconomic adjustment, The more symmetrical these shocks, the lower the costs. This paper uses a structural Bayesian Vector Autoregressive (BVAR) approach and quarterly data from 1970 to 1996 to characterise the responses to common and specific, nominal and real, shocks in four European economies. Our findings suggest that, in the short run, asymmetrical shocks have dominated. (C) 1999 Elsevier Science B.V. All rights reserved.