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.
| Identifer | oai:union.ndltd.org:VIENNA/oai:epub.wu-wien.ac.at:5481 |
| Date | 01 1900 |
| Creators | Antonakakis, Nikolaos, Badinger, Harald |
| Publisher | Elsevier |
| Source Sets | Wirtschaftsuniversität Wien |
| Language | English |
| Detected Language | English |
| Type | Article, PeerReviewed |
| Format | application/pdf |
| Relation | http://dx.doi.org/10.1016/j.econmod.2015.08.035, https://www.elsevier.com/, http://epub.wu.ac.at/5481/ |
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