Quotation Antonakakis, Nikolaos, Badinger, Harald. 2016. Economic growth, volatility, and cross-country spillovers: new evidence for the G7 countries. Economic Modelling 52 (PartB), 352-365.


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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.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Economic Modelling
Citation Index SSCI
WU Journalrating 2009 A
Language English
Title Economic growth, volatility, and cross-country spillovers: new evidence for the G7 countries
Volume 52
Number PartB
Year 2016
Page from 352
Page to 365
Reviewed? Y
DOI http://dx.doi.org/10.1016/j.econmod.2015.08.035

Associations

People
Badinger, Harald (Details)
External
Antonakakis, Nikolaos (Webster Vienna Private University, Austria)
Organization
Institute for International Economics IN (Details)
Research Institute for European Affairs FI (Details)
Research areas (Ă–STAT Classification 'Statistik Austria')
5115 European integration (Details)
5323 Econometrics (Details)
5335 Political economic theory (Details)
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