Business cycle spillovers in the European Union: what is the message transmitted to the core?

Nikolaos Antonakakis, Ioannis Chatziantoniou, George Filis

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    Abstract

    We examine business cycle spillovers in the European Union over the period 1977–2014. The results of our analysis reveal that: (i) The total spillover indices are of high magnitude and very responsive to extreme economic events. (ii) The direction and magnitude of spillovers among group members (i.e. Eurozone core, Eurozone periphery, new Euro Area countries and non-European Monetary Union countries) is changing overtime. (iii) The widening of the European debt crisis can be explained by business cycle shocks in the whole Eurozone periphery. Thus, appropriate macroprudential stabilization policies aiming to steer peripheral economies towards growth should be formulated.
    Original languageEnglish
    Pages (from-to)437-481
    JournalThe Manchester School
    Volume84
    Issue number4
    Early online date31 Mar 2015
    DOIs
    Publication statusPublished - Jul 2016

    Keywords

    • European Union
    • Business cycle
    • Spillover
    • Variance decomposition
    • Vector autoregression
    • Impulse response function

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