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International Business Cycle Spillovers since the 1870s

Antonakakis, Nikolaos and Badinger, Harald (2014) International Business Cycle Spillovers since the 1870s. Applied Economics, 46 (30). pp. 3682-3694. ISSN 0003-6846

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Abstract

This article considers the evolution of international business cycle interdependencies among 27 developed and developing countries since the beginning of 1870s, utilising the generalized vector autoregressive (VAR)-based spillover index of Diebold and Yilmaz (2012), which allows the construction of a time-varying measure of business cycle spillovers. We find that, on average, 65% of the forecast error variance of the 27 countries' business cycle shocks is due to international spillovers. However, the magnitude of international business cycle spillovers varies considerably over time. There is a clear increasing trend since the end of World War II and until the middle 1980s. After that, international business cycle interdependencies declined during the period that was dubbed the Great Moderation, and stabilized around the beginning of the twenty-first century. During the Great Recession of 2008-2009, international business cycle spillovers increased to unprecedented levels. Finally, developed countries are consistently ranked as net transmitters of cyclical shocks to developing counties throughout the sample. (authors' abstract)

Item Type: Article
Additional Information: To see the final version of this paper please visit the publisher's website. Access to the published version requires a subscription.
Keywords: Business cycle / Spillover / Variance decomposition / Vector autoregression / Developing country / Developed country
Classification Codes: JEL C32, E32, F01, F62, N10
Divisions: Departments > Finance, Accounting and Statistics
Version of the Document: Draft
Variance from Published Version: Minor
Depositing User: ePub Administrator
Date Deposited: 17 Dec 2014 14:47
Last Modified: 17 Dec 2014 17:02
Related URLs:
FIDES Link: https://bach.wu.ac.at/d/research/results/67672/
URI: http://epub.wu.ac.at/id/eprint/4424

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