Spatial Propagation of Macroeconomic Shocks in Europe

Romain Houssa ()

No 1009, Working Papers from University of Namur, Department of Economics

Abstract: This paper develops a Spatial Vector Auto-Regressive (SpVAR) model that takes into account both the time and the spatial dimensions of economic shocks. We apply this framework to analyze the propagation through space and time of macroeconomic (inflation, output gap and interest rate) shocks in Europe. The empirical analysis identifies an economically and statistically significant spatial component in the transmission of macroeconomic shocks in Europe.

Keywords: Macroeconomics; Spatial Models; VAR (search for similar items in EconPapers)
JEL-codes: E3 E43 E52 C51 C33 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-geo, nep-mac, nep-mon, nep-opm and nep-ure
Date: 2010-04
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http://www.fundp.ac.be/eco/economie/recherche/wpseries/wp/1009.pdf First version, 2010 (application/pdf)

Related works:
Journal Article: Spatial propagation of macroeconomic shocks in Europe (2012)
Working Paper: Spatial propagation of macroeconomic shocks in Europe (2012)
Working Paper: Spatial propagation of macroeconomic shocks in Europe (2010)
Working Paper: Spatial propagation of macroeconomic shocks in Europe (2010)
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Persistent link: http://EconPapers.repec.org/RePEc:nam:wpaper:1009

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