Seminars 2009 — Abstracts

Friday, July 17

Speaker: Denise Osborn, Manchester

Title: International Linkages for Large Open Economies with an SVAR Representation

Abstract: International linkages between the Euro Area and the US are investigated through a structural VECM which imposes long run and short run cross-economy restrictions. Importantly, greater empirical coherence is obtained by allowing for more direct inflationary effects between the two economies than is traditional. Our SVECM distinguishes between permanent and temporary shocks, with the former attributed to distinct technology shocks in the two economies. The model is estimated using data over 1983Q1 to 2007Q4 and demonstrates the impact of shocks in each country on the other. Although US shocks produce stronger effects overall, Euro Area developments also play an important role for the US.