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

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.

Identiferoai:union.ndltd.org:VIENNA/oai:epub.wu-wien.ac.at:5481
Date01 1900
CreatorsAntonakakis, Nikolaos, Badinger, Harald
PublisherElsevier
Source SetsWirtschaftsuniversität Wien
LanguageEnglish
Detected LanguageEnglish
TypeArticle, PeerReviewed
Formatapplication/pdf
Relationhttp://dx.doi.org/10.1016/j.econmod.2015.08.035, https://www.elsevier.com/, http://epub.wu.ac.at/5481/

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