Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/121093
Authors: 
Antonakakis, Nikolaos
Badinger, Harald
Year of Publication: 
2012
Series/Report no.: 
FIW Working Paper 98
Abstract: 
This paper considers the linkages between output growth and output volatility for the sample of G7 countries over the period 1958M2-2011M7, thereby paying particular attention to spillovers within and between countries. Using the VAR-based spillover index approach by Diebold and Yilmaz (2012), we identify several empirical regularities: i) output growth and volatility are highly intertwined, with spillovers taking place into all four directions; ii) the importance of spillovers has increased after the mid 1980s and reached unprecedented levels during the recent financial and economic crisis; iii) the US has been the largest transmitter of output and volatility shocks to other countries. Generalized impulse response analyses point to moderate growth-growth spillovers and sizable volatility-volatility spillovers across countries, suggesting that volatility shocks quintuplicate in the long run. The cross-variable effects turn out negative: volatility shocks lead to lower economic growth, growth shocks tend to reduce output volatility. Our findings underline the increased vulnerability of the G7 countries to destabilizing shocks and their detrimental effects on economic growth, which are sizeably amplified through international spillover effects and the associated repercussions.
Subjects: 
Output growth
Output growth volatility
Spillover
Vector autoregression
Variance decomposition
Impulse response OLI paradigm and R&D
JEL: 
C32
E32
F41
F43
F44
Document Type: 
Working Paper

Files in This Item:
File
Size
691.66 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.