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

N. Antonakakis, H. Badinger

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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.
    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

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