Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/121056
Authors: 
Antonakakis, Nikolaos
Badinger, Harald
Year of Publication: 
2010
Series/Report no.: 
FIW Working Paper 58
Abstract: 
This paper examines the transmission of GDP growth and GDP growth volatility among the G7 countries over the period 1960 q1 - 2009 q3, using a multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model to identify the source and magnitude of spillovers. Results indicate the presence of positive own-country GDP growth spillovers in each country and of cross-country GDP growth spillovers among most of the G7 countries. In addition, the large number of significant own-country output growth volatility and cross-country output growth volatility spillovers indicates that output growth shocks in most of the G7 countries affect output growth volatility in the remaining others. An additional finding is that U.S. is the dominant source of GDP growth volatility transmission, as its volatility exerts a significant unidirectional spillover to all remaining G7 countries.
Subjects: 
Business cycle transmission
Spillovers
Recession
JEL: 
E32
F41
F44
Document Type: 
Working Paper

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