TY - JOUR
T1 - The post-crisis slump in the Euro Area and the US
T2 - Evidence from an estimated three-region DSGE model
AU - Kollmann, Robert
AU - Pataracchia, Beatrice
AU - Raciborski, Rafal
AU - Ratto, Marco
AU - Roeger, Werner
AU - Vogel, Lukas
N1 - Publisher Copyright:
© 2016 Elsevier B.V.
PY - 2016/9/1
Y1 - 2016/9/1
N2 - The global financial crisis (2008–09) led to a sharp contraction in both Euro Area (EA) and US real activity, and was followed by a long-lasting slump. However, the post-crisis adjustment in the EA and the US shows striking differences—in particular, the EA slump has been markedly more protracted. We estimate a three-region (EA, US and Rest of World) New Keynesian DSGE model (using quarterly data for 1999–2014) to quantify the drivers of the divergent EA and US adjustment paths. Our results suggest that financial shocks were key drivers of the 2008–09 Great Recession, for both the EA and the US. The post-2009 slump in the EA mainly reflects a combination of adverse aggregate demand and supply shocks, in particular lower productivity growth, and persistent adverse shocks to capital investment, linked to the continuing poor health of the EA financial system. Adverse financial shocks were less persistent for the US. The financial shocks identified by the model are consistent with observed performance indicators of the EA and US banking systems.
AB - The global financial crisis (2008–09) led to a sharp contraction in both Euro Area (EA) and US real activity, and was followed by a long-lasting slump. However, the post-crisis adjustment in the EA and the US shows striking differences—in particular, the EA slump has been markedly more protracted. We estimate a three-region (EA, US and Rest of World) New Keynesian DSGE model (using quarterly data for 1999–2014) to quantify the drivers of the divergent EA and US adjustment paths. Our results suggest that financial shocks were key drivers of the 2008–09 Great Recession, for both the EA and the US. The post-2009 slump in the EA mainly reflects a combination of adverse aggregate demand and supply shocks, in particular lower productivity growth, and persistent adverse shocks to capital investment, linked to the continuing poor health of the EA financial system. Adverse financial shocks were less persistent for the US. The financial shocks identified by the model are consistent with observed performance indicators of the EA and US banking systems.
KW - Demand and supply shocks and financial shocks
KW - Estimated DSGE model
KW - Euro Area
KW - Post-crisis slump
KW - United States
UR - http://www.scopus.com/inward/record.url?scp=84964311277&partnerID=8YFLogxK
U2 - 10.1016/j.euroecorev.2016.03.003
DO - 10.1016/j.euroecorev.2016.03.003
M3 - Article
SN - 0014-2921
VL - 88
SP - 21
EP - 41
JO - European Economic Review
JF - European Economic Review
ER -