Heterogeneity and cross-country spillovers in macroeconomic-financial linkages

Arbeitspapier

We investigate heterogeneity and spillovers in macro-financial linkages across developed economies, with a particular emphasis in the most recent recession. A panel Bayesian VAR model including real and financial variables identifies a statistically significant common component, which turns out to be very significant during the most recent recession. Nevertheless, countryspecific factors remain important, which explains the heterogeneous behaviour across countries observed over time. Moreover, spillovers across countries and between real and financial variables are found to matter: A shock to a variable in a given country affects all other countries, and the transmission seems to be faster and deeper between financial variables than between real variables. Finally, shocks spill over in a heterogeneous way across countries.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 1498

Classification and Topics

• Classification: Wirtschaft ; Bayesian Analysis: General ; Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models ; Business Fluctuations; Cycles ; International Business Cycles
• Subject: financial crisis ; macro-financial linkages ; panel VAR models

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Ciccarelli, Matteo ; Ortega, Eva ; Valderrama, Maria Teresa
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2012

Further information

• Handle: http://hdl.handle.net/10419/153931
• Last update: 10.03.2025, 11:45 AM CET