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.
| Original language | English |
|---|---|
| Pages (from-to) | 352-365 |
| Journal | Economic Modelling |
| Volume | 52 |
| Issue number | B |
| Early online date | 21 Oct 2015 |
| DOIs | |
| Publication status | Published - 1 Jan 2016 |
Keywords
- Output growth
- Output growth volatility
- Spillover
- Vector autoregression
- Variance decomposition
- Impulse response
Access to Document
- ANTONAKAKIS_2016_cright_EM_Economic growth, volatility, and cross-country spillovers New evidence for the G7 countries
NOTICE: this is the author’s version of a work that was accepted for publication in Economic Modelling. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economic Modelling, 52, (2016), DOI: 10.1016/j.econmod.2015.08.035