Economic growth, volatility, and cross-country spillovers: new evidence for the G7 countries

Nikolaos Antonakakis, Harald Badinger

Publikation: Wissenschaftliche FachzeitschriftOriginalbeitrag in FachzeitschriftBegutachtung

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Abstract

This study examines the linkages between output growth and output volatility in the G7 countries over the period 1958M2–2013M8. Using the VAR-based spillover index approach by Diebold and Yilmaz (2012) we find that: i) output growth and volatility are highly intertwined; ii) spillovers have reached unprecedented levels during the global financial crisis; and iii) the US has been the largest transmitter of growth and volatility shocks. Generalized impulse response analyses suggest moderate growth spillovers and sizable volatility spillovers across countries. Cross-variable effects indicate that volatility shocks lead to lower growth, while growth shocks reduce output volatility.
OriginalspracheEnglisch
Seiten (von - bis)352 - 365
FachzeitschriftEconomic Modelling
Jahrgang52
AusgabenummerPartB
DOIs
PublikationsstatusVeröffentlicht - 2016

Österreichische Systematik der Wissenschaftszweige (ÖFOS)

  • 506004 Europäische Integration
  • 502025 Ökonometrie
  • 502047 Volkswirtschaftstheorie

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