Quotation Gaggl, Paul, Kaniovski, Serguei, Prettner, Klaus, Url, Thomas. 2009. The Short and Long-run Interdependencies between the Eurozone and the U.S.A. Empirica. 36 209-227.


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Abstract

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.

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Publication's profile

Status of publication Published
Affiliation External
Type of publication Journal article
Journal Empirica
Citation Index SSCI
Language English
Title The Short and Long-run Interdependencies between the Eurozone and the U.S.A.
Volume 36
Year 2009
Page from 209
Page to 227
Reviewed? Y
URL https://link.springer.com/article/10.1007/s10663-008-9081-4
DOI https://doi.org/10.1007/s10663-008-9081-4
Open Access N

Associations

People
Prettner, Klaus (Details)
External
Gaggl, Paul (UNC Charlotte, United States/USA)
Kaniovski, Serguei (Wifo, Austria)
Url, Thomas (Wifo, Austria)
Organization
Department of Economics (Crespo Cuaresma) (Details)
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