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

N. Antonakakis, H. Badinger

Research output: Contribution to journalArticlepeer-review

237 Downloads (Pure)

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 languageEnglish
Pages (from-to)352-365
JournalEconomic Modelling
Volume52
Issue numberB
Early online date21 Oct 2015
DOIs
Publication statusPublished - 1 Jan 2016

Keywords

  • Output growth
  • Output growth volatility
  • Spillover
  • Vector autoregression
  • Variance decomposition
  • Impulse response

Fingerprint

Dive into the research topics of 'Economic growth, volatility, and cross-country spillovers: New evidence for the G7 countries'. Together they form a unique fingerprint.

Cite this