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.
Originalsprache | Englisch |
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Seiten (von - bis) | 352 - 365 |
Fachzeitschrift | Economic Modelling |
Jahrgang | 52 |
Ausgabenummer | PartB |
DOIs | |
Publikationsstatus | Veröffentlicht - 2016 |
Österreichische Systematik der Wissenschaftszweige (ÖFOS)
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