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

Antonakakis, Nikolaos and Badinger, Harald (2016) Economic growth, volatility, and cross-country spillovers: new evidence for the G7 countries. Economic Modelling, 52 (Part B). pp. 352-365. ISSN 0264-9993

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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.

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: Output growth; Output growth volatility; Spillover; Vector autoregression; Variance decomposition; Impulse response
Divisions: Departments > Volkswirtschaft > Internationale Wirtschaft
Forschungsinstitute > Europafragen
Version of the Document: Accepted for Publication
Depositing User: Gertraud Novotny
Date Deposited: 22 Mar 2017 14:40
Last Modified: 22 Mar 2017 14:44
Related URLs:
FIDES Link: https://bach.wu.ac.at/d/research/results/73957/
URI: http://epub.wu.ac.at/id/eprint/5481

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