Please use this identifier to cite or link to this item:
Kaltenhäuser, Bernd
Year of Publication: 
Series/Report no.: 
CFS Working Paper 2002/05
Within a two step GARCH framework we estimate the time-varying spillover effects from European and US return innovations to 10 economic sectors within the euro area, the United States, and the United Kingdom. We use daily data from January 1988 - March 2002. At the beginning of our sample sectors in all three currency areas/blocks formed a quite homogeneous group exhibiting only minor sector-specific characteristics. However, over time sectors became more heterogeneous, that is the response to aggregate shocks increasingly varies across sectors. This provides evidence that sector-specific effects gained in importance. European industries show increased heterogeneity simultaneously with the start of the European Monetary Union, whereas in the US this trend started in the early 1990's. Information technology and non-cyclical services (including telecommunication services) became the most integrated sectors worldwide, which are most affected by aggregate European and US shocks. On the other hand, basic industries, non-cyclical consumer goods, resources, and utilities became less affected by aggregate shocks. Volatility spillovers proved to be small and volatile.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
420.91 kB

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