The Relative Importance of Symmetric and Asymmetric Shocks: The Case of United Kingdom and Euro Area*
用带符号约束的简单模型识别英国和欧元区的对称与不对称冲击，发现对称冲击对商业周期波动贡献大，但长期不对称冲击占比约20%不可忽视。
Abstract We show how a simple model with sign restrictions can be used to identify symmetric and asymmetric supply, demand and monetary policy shocks in an estimated two‐country structural VAR for the UK and Euro area. The results can be used to deal with several issues that are relevant in the optimal currency area literature. We find an important role for symmetric shocks in explaining the variability of the business cycle in both economies. However, the relative importance of asymmetric shocks, being around 20% in the long run, cannot be ignored. Moreover, when we estimate the model for the UK and US, the degree of business cycle synchronization seems to be higher. Finally, we confirm existing evidence of the exchange rate being an independent source of shocks in the economy.