Samvariation mellem udbuds- og efterspørgselsstød. Impuls-respons analyse af årstal for Vesteuropa og USA, 1960-95

Abstract:

Countries participating in the third phase of the EMU will not have the exchange rate instrument as an option in the stabilisation of the economy. This can turn out to be a serious problem when a country faces an asymmetric shock, i.e. a shock which does not occur in the other member countries of the EMU. Symmetric shocks are not equally problematic, if the monetary policy preferences are the same across countries, since the common currency can of course vary relatively to third countries' curren cies.

In this paper a VAR-analysis of output and price data for 15 European countries and the USA leads to an identification of demand and supply disturbances in the individual countries. A further study of correlations between these disturbances shows that a group of countries, including Denmark, Germany, Austria, Belgium, France, the Netherlands, and Luxembourg, is to a large extent hit by symmetric shocks. This is slightly more accentuated for supply shocks than for demand shocks. At the same time, the variation in the shocks is in general lower in these countries than in the remaining countries.