Measuring the Connectedness of the Global Economy

Matthew Greenwood-Nimmo and Viet Hoang Nguyen
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Matthew Greenwood-Nimmo: Department of Economics, The University of Melbourne

Melbourne Institute Working Paper Series from Melbourne Institute of Applied Economic and Social Research, The University of Melbourne

Abstract: We develop a technique to evaluate macroeconomic connectedness in any multi-country macroeconomic model with an approximate VAR representation. We apply our technique to a large Global VAR covering 25 countries and derive vivid representations of the connectedness of the system. We show that the US, the Eurozone and the crude oil market exert a dominant influence in the global economy and that the Chinese and Brazilian economies are also globally significant. Recursive analysis over the period of the global financial crisis shows that shocks to global equity markets are rapidly and forcefully transmitted to real trade flows and real GDP.

Keywords: Generalised Connectedness Measures (GCMs); international linkages; network analysis; macroeconomic connectedness (search for similar items in EconPapers)
JEL-codes: C32 C53 E17 (search for similar items in EconPapers)
Pages: 57pp
Date: 2015-03
New Economics Papers: this item is included in nep-mac and nep-net
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Citations: View citations in EconPapers (32)

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Related works:
Journal Article: Measuring the Connectedness of the Global Economy (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:iae:iaewps:wp2015n07

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