The Symmetry of Demand and Supply Shocks in the European Monetary Union

• Autorzy: Henryk Bąk , Sebastian Maciejewski
• Języki publikacji: EN

Abstrakty

EN

In this paper we apply the Blanchard and Quah (1988) SVAR methodology in order to estimate the size and frequency of demand and supply shocks for the EMU member countries in 1996-2014. Obtained SVAR estimates suggest that Eurozone's largest economies - Germany, France and Italy - show the greatest similarity with the Eurozone under the criterion of shock correlation and amplitude. In turn, the majority of CEE countries, which are Eurozone's latest joiners, exhibit relatively low correlations of demand and supply shocks with the euro area. The impact of the global financial crisis on the euro area's economies is pronounced for all 16 analysed countries between 2008 Q4 and 2009 Q2. The comparison of shock correlations prior to and after the outbreak of the global financial crisis illustrates considerable changes in correlations of demand and supply shocks of individual countries with the euro area, where changes in the correlation of demand shocks are greater in magnitude, and positive changes in the correlation of demand shocks and negative changes in the correlation of supply shocks predominate. (original abstract)

Słowa kluczowe

EN

Time-series; Time-series analysis; Business cycles; Demand; Supply; Eurozone; Economic and Monetary Union (EMU); Demand shock; Supply shock

PL

Szeregi czasowe; Analiza szeregów czasowych; Cykl koniunkturalny; Popyt; Podaż; Strefa euro; Unia Gospodarcza i Walutowa (UGW); Wstrząs popytowy; Wstrząs podażowy

• Czasopismo: Bank i Kredyt
• Rocznik: 2017
• Numer: nr 1
• Strony: 1--43

Twórcy

autor

Henryk Bąk

• Warsaw School of Economics, Poland

autor

Sebastian Maciejewski

• PGE Polska Grupa Energetyczna

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